I got it!

Steps:

1. convert all .dds image files to .tga

2. download/buy fragMOTION (30 days trail)
Milchshape does not support animated DirectX formats, I tested it.

3. import the DirectX model

4. export directs as mdl to 3dgs.

Notes:
Importing and exporting/converting from format .fbx works also great.
Milkshake supports animated .fbx files though.


I haven't found a free program to do so yet...


Here are the fully animated weapon/arms and static weapon model:
https://www.dropbox.com/s/ja1ga89dgas8q48/AT9mm.7z?dl=0


Hey, I can convert the whole weapon model pack and we can add the models in that awesome magazine you got there, AUM!
You guys have no idea how helpful that magazine was to me.