Info
Your going to need to download a maxscript. Im using afew right now, mainly a .3ds importer and the dex exporter. I make my models in blender and export them to gmax for rigging,skinning, and animating.
What you want to do is look up *gmax script importer <obj>* switch <obj) with .3ds or whatever in google and download a script. might have to change wording around.
Step by Step
1. Download importmdx.mse
2. Cut and past importmdx.mse to scripts folder in Gmax
3. Run gmax and click on Maxcript top right.
4. Click on Run Script...
5. Select importmdx.mse and open
6. Restart Gmax
7. Run Gmax and go to the ultilities tab (top right, looks like a hammer)
8. Click on the Maxscript bottom at the way bottom
9. Scroll down and click on Run Script
10. Click Run script and select importmdx.mse and open
11. Click the arrow in the drop down menu and then select Kingping.Mdx Importer.
12. Scroll down and click on importer MDX button
13. Select model and open
I think i ran into problems with this script saying that the mdx file wasnt a mdx file but i know my .3ds script works so as long as you have a working script and know how to use it then it should work. Hope it helps