That's really good for your first attempt.
I've never used milkshape before so I don't know how it outputs, but one piece of advice I can give as someone who has recently gone through the learning process, is to try not to use Jpegs for the models textures, use them to make the textures by all means but the output should be in png at the least or (more prefereably) dds. Jpegs are quite large and don't have alpha channels so may cause issues.
Ideally what you want to do is to bake an ambient occlusion layer, then unwrap, texture and create three files, a diffuse, a normal and a specular texture, to give it shadows, depth and a "bumpy" feel.
I'm not sure how that is done in milkshape, but I can point you to a very god and easy to understand series of video guides for this using blender (a free 3d modelling program) and GIMP (a free equivalent of Photoshop).
Check out Unfamillias thread here: https://forum.game-guru.com/thread/208184
It's well worth checking out.
Keep up the good work, you've done great for your first model!
p.s. if you don't mind i'll see if i can import your model into blender tonight, and retexture it with the D N & S textures to show you the difference it makes.