What version of Max are your using?

Maybe this will answer your questions

http://www.freeflightdesign.com/tips/3DsStudioMaxplugin.htm

Once you have your 3DS file converted to an X file you can compile it with the latest version of makemdl.exe to a BGL or capture the ASM file (using the Keep Files option) for further modification then compile the ASM files to a BGL with BGLC.exe

Lou