IVE JUST STARTED USING GMAX.IVE TRIED TO EXPORT MY MODEL TO FS2002 STANDARD VERSION , AND  I GET -ERROR CAN NOT FIND MAKE MDL, WHERE EXACTLY SHOULD MAKE MDL BE ? COULD ANYONE PLEASE HELP ME?

I've encountered the same problem.  If you Read the MakeMDL SDK, it says:

4. For MakeMDL to operate properly, MSXML 4 must be installed on your system.  MSXML 4 can be found on the web site:
www.microsoft.com/downloads/results.aspx?productID=&freetext=msxml4

Also,  If you parts heirachy is not set up correctly, or if all your parts are not linked properly, you will encounter errors just like, or close to that one.

To link your parts in gmax see the tutorial, under the "Modeling an airplane", "Finishing the plane".

If you don't have MakeMDL or want to reinstall it, goto:
www.microsoft.com/games/flightsimulator/fs2002_downloads_sdk.asp#makemdl