My feeling is that this is more a question for the 3DMax forum. How to export files so that other applications can read them. BTW, there is another limitation in Max. It cuts down texture names to the "good" old DOS thing. Eight characters + 3 for extention. I had a lot of fun with that too - i bought by accident a wonderful looking model, but for Max only and asked a friend to convert it for me. Tons of materials, all names were cut down and without knowing the model very well, you are lost! Have you tried to export the objects as Wavefront format (obj) ? There is a plugin out there for Max to make that possible. And as i understood, free. Maybe this gives you better results.

One day your ship comes in - but you're at the airport.