You could revise the geometry of the original figure to contain clothes rather then body parts, but that's pretty advanced stuff. I haven't tried doing it, so I don't know if it's an idea that would actually work. Seems like it might.
Other then that, there really isn't a good way to go from Poser to Max the way you want to do it.

You could try exporting the figure alone, then importing clothes obj's separate in Max and skinning them.  Again, Thechnically it should work, but not something I tried doing yet.

Hi, my namez: "NO, Bad Kitteh, NO!"  Whaz yurs?
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