Ok, here's how you do that.
Now, let's say that you're making a ship and you want a warp nacelle that is saved in a .max file along with several other parts. In order to retrieve this part, and any other parts you need from this file, open the File menu and select Merge. Chose the file that has the part or parts that you want (this should work similar to opening a file). Next, you should see a dialog box listing all of the objects in that max scene. Select the object or objects you wish to merge into your current scene.