If you have FSX, you did not have to download gmax. It's in there.
#1. Install the FSX SDK from the FSX Deluxe DVD
#2. Note that as part of the installation of the SDK, a gmax gamepack folder is created (FSX_GmaxGamePack) within the SDK's Environment Kit/MOdelling SDK folder. COPY THIS FOLDER to your gmax\gamepacks folder, so you will end up with a new folder gmax\gamepacks\FSX_GmaxGamePack folder and all the neat bits and pieces.
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OF course, now you start the challenge of tearing your hair out and learning to use the program...
but at least you've set up gmax to create a model for FS-X.
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Now, depending on whether you've upgraded your copy of FS-X to the latest SP2, you will need to upgrade your SDK also to the latest SDK Service Pack 2 (SP2), from teh fsinsider.com site (*downloads section*)