if you export the files from max as *.3ds and not *.max you can go and get the bonus tools from auto-desk for free.
they have them for Maya 7,8 and 8.5

In there is a number of plugin`s including a good *.3ds plugin. Some people on the net say they have had problems, but as of yet I have had none. But I don`t like max so rarely use it.