A good first step would be to remove all extraneous stuff from the file.  Things like lighting and such will not be exported into FS, so they don't need to be in the scene.  I have no idea what it would do to the export process, or if it would even register with the compilers, but for safety's sake, you might want to just do away with them.

Nest, take a good look at the poly count.  Anything over about 30,000 polys is going to start affecting the frame rates on most systems.  Try to keep the poly count around 20 to 25,000 to ensure smooth running.

Now, I have no idea about compiling from 3DS Max, but most modellers using the Max series move their work from that to Gmax (freeware stuff from the makers of 3DS Max) and then export using the MS-provided software.  Its a little complicated to set up, but once you get it, things run smoothly.  Try the pinned thread at the top of this forum to find out about Gmax and getting things converted.

As for texture mapping, this is also covered in a tutorial at the top of the forum.  Make sure you read through whatever you can find.  It makes things much simpler the farther you get into all of this.