Define a material, like so:

Code:

---

 material mat_fur {} 

---

Then, make a starter function like so:

Code:

---

 starter init_fur{
      effect_load(mat_fur,"fur.fx");
} 

---

Then, apply your material to an entity's action, like so:

Code:

---

 action test{
    my.material = mat_fur;
} 

---

That's it! Just keep in mind - chances are that shader will not work because RenderMonkey is directX 9 based, and 3dgs is directX 8.1.