Sorry, but MilkShape doesn't support the .max format. It would be nice, but Discreet would likely squash Mete like an ant if he (or someone else) released a plugin.

You might be recalling the conversion trick I mentioned for gmax, Discreet's free game-content modeler. gmax can export to Quake 3 format, which MilkShape can read and convert to other formats.