It's a (built-in/designed) 'limitation' of the format, you can only have a single material assigned per mesh. So in instances where more than one are assigned, the mesh would need to be broken down into corresponding sections - a "head", "body", "feet" material assignment would have the mesh split into "head", "body" and "feet" sections. Or, the texture/material assignments would need to be unified (from multiple, into a single image). If you do break the mesh up, you may also need to make sure you 'close' the sections - they ideally need to be seen as 'solid' and 'complete' objects rather than shells or skins the innards of which can be seen - in other words, any openings, gaps or holes need to be filled, UV-mapped and textured (this only needs to be done approximately).
Come time to export, just make sure to select all the sections that are supposed to be part of the main object, the process will then output the lot as a series of sub-meshes in the MD5 file - so a single MD5 object composed from a series of sub-meshes.