First know this, you can never get an imported mdx into Gmax and have the animations working so you have to remake them yourself. To import you can use the import script it can be found on wc3c I think and some other places, with it you will get all the bones and animations but they will all be screwed up. If you don't care about anyn bones or animations you can first convert it to .3ds and then import it. But I have never been able to get the textures when I import models into Gmax. And often get error message.