That's what we're saying F_W...in order to get a gmax file into max, you have to get it out of gmax in a file type that can be converted...there is no gmax to max exporter/importer, at least not that I've seen and I've followed gmax, even made a tutorial on getting a ship into sfc from gmax (thats history by the way...can't find it anywhere
)...so you have to use the Quake III exporter to .md3, then use a converter, or get a .md3-.max importer if there is one.
Gmax is a cool program, but really is useful only for building models for the supported games, and SFC won't be...the license I think is around 80,000 (US), and that ain't gonna happen.