You save a .max file to share with other 3ds max users; because that is the scene file for 3ds max. It carries everything from cameras and lights, to render settings, to materials/shaders (procedural & image based), to particle generators, animations, and so on. Anything that could be in a 3ds max scene.
If the user intends to share just an object, then they will probably save out the object as .3ds or whatever format they want to use.

If you are going to convert objects w/ the demo.; you'll have to select the objects that you want to export and 'export selected' from the file menu.
MAKE SURE that the modifier stack for the object(s) is collapsed and the xforms have been reset, else the objects won't export correctly.

Friends don't let friends use booleans.