Flamer,
kammando is right about the skl and crp files being in the same folder. What I do basically, is take a folder with all the textures and crp's, skl, etc and then open up the convertor. Select "save to same folder...." and it will work. Sometimes it takes a second, and when it's done, nothing happens visually, the file is just created there in the folder. After you use milkshape, you export as an autocad dxf, and reverse the process to convert back.
BTW: when making skins, you only need the "a" crp, not the b or c

just match your text files (uniform, sideswatch, models, etc..)
