Rigging = the act of creating a skeleton (series of joints) and binding the character to the skeleton. this may also include using IK, Expressions and Constraints to make your skeleton easier to work with.
Weighting = Basicly Deciding how each bone/joint effect the vertex of the target model, its very similar to the process of assaining Vertecies to Bones in Milkshit except you also assain Weight to each vertex with a value between 0 and 1.. that value determine the amount of effect each bone has on the movement of said vertex.
This allow for a vertex to be effected by the movment of two or more bones..for example:
A Vertex is bound to Bone30 by a value of 0.7(70%) weight and also to Bone41 by a value of 0.3(30%) weight( making it a total of 1(100%) so when I move Bone30 the said vertex will move by 70% of that Bone movement and 30% of Bone41 so the totall movement destribute between the two bones which allows the skin(the model) to deform and stretch like a real skin.
I hope I explained this abstract concept well enough. if not im sure Azraelthe7th or Xaltar know this stuff as well.
Also note that Milkshape3d is probably the worse software to work with on weights and rigs and you are better off using Maya or 3Dsmax or even Blender..
There are several ways to assain weights , I usually prefer to work with the Artisan Brush tool in maya to paint weights on the model..
If you dont want to mess with weights too much you can build you model from seperate parts instead of a seamless skin and bind each part to the correct bone, as long as its not a naked figure it can look well enough
http://www.youtube.com/watch?v=g-HIcecZUQ4The Wasp I modelled and rigged in this short animation clip works using this method since a real life insect's skin doesnt really move(its like armor plate) it works well.
Note: the movie still needs editing for timing which I will do tomorrow, this is only the very rough cut.