No, milky can't open a gmax file,,,sorry for the misspeak.
Milkshape has a converter to export from milk to mod. For gmax, you need to get the tempest gamepack and then export as md3; then you load into Deep exploration and convert to 3ds. Or, I think milkshape imports md3, so you might be able to get away with making the mesh in gmax, then exporting to md3, import to milk, texture then export as mod.
See what I mean about drawn out? Why not just do your modeling in Mil;kshape? Far easier.