First off, .MAX files are a Program specific file that includes things that are only relevant to 3D Studio MAX and what plugins you have on a specific machine, i.e. no two are exactly alike even though two different guys on different systems have created a simple primitive sphere. Heck the file even spits out things like whos owns the MAX program, what time it was day of the week, month and year. (Perhaps even what you had for lunch ).
None of this "extra" information is needed to get at the polygons that are created and is way overkill. No one is going to work on such a thing, and it gets asked every week or so on these forums.
The second best thing to getting something out of MAX to MS3D is to export it to SMD if possiable, (since you can get the animations with this format), if not export to OBJ, and worst case, export to 3DS.
Another thing about MAX files is that models that usually come from it can be really high polycount and may be to many for MS3D
to open. The limit for MS3D presently if a max of 64k polygons.
Many places offer the 3DS format as well as MAX and others so grab these and try them as a converter for MAX to MS3D is just not going to happen, at least any time soon.
This is copied from a response on the milkshape forum asking for a .max importer for milkshape. Might explain the trouble with importing/exporting these.