modeling a weapon, a vehicle, or a character uses the same tools, and produces essentially the same result -- a 3D mesh object or objects, static or otherwise.
animating such an object would use the same methods regardless of how it might be used in a game environment -- weapon, decoration, or character.
the MilkShape tutorial forum can be searched for resources about modeling & animating with the app. the keywords "weapon model" turned up a number of useful hits for me.
exporting & importing for UT/UT2K3-- definitely where the different uses in-game require different methods, but for what MilkShape can do (vertex anims), the wiki tute's the only one i've found, and it does have some weapon-specific info. not an ideal source, but also not one to ignore.
in the absence of a neatly packaged answer to the original question, it doesn't seem out of place to cite sources of related info.