I assume that you're reading for a "standalone" use of makemdl.exe, as if you'd created your model in another modeling program.  THEN you'd need your model in direct X (x) format.

If you've installed the gmax gamepack correctly (with makemdl.exe into the appropriate gamepack folder, etc., you just need to "EXPORT" your gmax file as a MDL file.

The default "EXPORT" from gmax is P3D.  If you've installed the gamepack per the instructions, you should also have other options *.CLD, *.bgl, and *.mdl available.