I've saved the sample fur shader in RenderMonkey as fur.fx
How do I now apply it to a model in 3dgs?
What do I have to do to put the shader in a material, load it, and apply it to a model?

Thanks in advance!

why dont you look at the manual?

I know nothing about shader programming but in the manual it says that you can load a shader using
effect_load(material,"fur.fx");
You have to set a material apply it to an action and apply the action to the model.
Look in the manual for:
effect_load and material

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.