Hiya.
From what I remember (haven't used GameSpace in a while), you can export as .md4 or .md5. The key thing to remember is that the object has to be one single mesh, and each object can only have a single skin/texture. there are some free gameSpace video tutorials by Buzz3d floating around out there (maybe on the gameSpace site?) that should be of great help.
The other option is to simply export as .obj, and your texture as .bmp. Then import those into MED and save (probably the better way...).