The way I do that is to have my screen set up into four quadrants.  The top left is the top view, top right is the front/back view and the bottom left is the right/left view.  On the fourth quadrant, right-click on the label for that window (in your example above, right-click on "Left").  Go down to "Views" and click "Perspective".  Now you can zoom in and out, move around, and individually pick parts and things.

A tip: Right-click on any of the view tools in the lower right-hand corner.  This will open up another window.  Find the field that reads "Perspective User View".  Change "Field of View" to something around 5 to 10.  That will allow you to get much closer to an object to really get a good look at it.  Comes in real handy when doing the cockpit or gear parts.

Are you trying to start Gmax using the program link, or opening directly from your saved file?