Modeling Problem!!

Not really familiar with Milkeshape 3D, but it seems like your model doesn't have a skeleton.

You'll have to extract the skeleton from one of the existing .PMD files (just convert any of the plXXXXa files to .smd), and layer your model over the skeleton. Then you have to rig your model to the skeleton.

Make sure that the skeleton you chose to rig on matches the skeletal body structure and animation data in the (em) folder.
Example:

If you want to rig this model over Separate Ways Ada, you'll look for pl16.
Resident Evil 4/xfile/em/pl16 - you can likely get the skeleton from (pl160a.pmd)

The accompanying skeletal body structure and animation data used by the game is in:
Resident Evil 4/em/
For Separate Ways Ada, it's (pl16.dat). You don't have to do anything to this file though.

This means that:
If you want to mod over Separate Ways Ada, get the skeleton from pl16 folder, and your finished and modded .pmd should only replace those in pl16 folder. Putting your new .pmd over pl0b0a.pmd (Mercenaries Ada?) or pl0c0a.pmd (Assignment Ada) can work to some extent, but can cause graphical glitches if you've rigged a model to a bone in pl16 that is missing in pl0b (For example, Separate Ways Ada has a scarf, whereas the other Adas don't. Rigging anything to the scarf will cause a graphical glitch).

If you want to mod over Leon/Krauser/Hunk/Wesker/ etc, you'll have to get the skeleton from their respective folders.
Don't replace a model file rigged to a skeleton from pl16 over pl08. Female skeletal body structure and animation data are different from a male character's, and you'll get a graphical glitch with the model looking very stretched and unnatural.

I'm sorry if this sounds complicated, but I'm really bad at simplifying my explanations.