No, milky can't open a gmax file,,,sorry for the misspeak.
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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.
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See what I mean about drawn out? Why not just do your modeling in Mil;kshape? Far easier.
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