Shape Merge is found on the compound objects rollout menu in Max.
You draw shapes as splines and then use the Shape Merge tool to cut these shapes into the mesh below, which can then be raised up from the mesh. It is a handy way to add detail to a plain mesh.
If you drew all the detail as boxes, then how did you delete the hidden faces from underneath the detailing? The faces wouldn't match the shapes above them...unless of course you used a boolean to get rid of the hidden faces...?