Ok well, you need a md3 python export script.
If ur using blender 2.49, go to the middle left, and click the icon thing. on the menu, select the text editor. Then go here and get the python script:
http://www.filedropper.com/md3Import all the files and run the export one.
then do alt-p(i think) to run the script.
hope that works, if ur using 2.5, then it should still work.