Trouble with importing .ms3d.

I recently rigged some models using Milkshape, and I need to import the whole milkshape file into Blender. I found an importer online by Markus Ilmola which is supposedly packaged with 2.46, but I couldn’t seem to find it. Instead I looked for it online and found it. ms3d_import.py.
But I have no idea how to use it. I clicked on it and a command prompt window opened, but disappeared without doing anything. I suppose I’m doing it wrong, but I’m rather inexperienced with Blender’s interface.