When I asked the same question some time ago I got the answer that .max files are 3d studio max scene files and .3ds is 3d studio max object files. So if you want a .max file converted to .3ds or .obj, you have to open the file in 3d studio max(or if you are a poor fellow like me, send it to someone who has got 3d Studio max) and group the entire scene and then export that group as an object.