ah i had this problem a few months ago
the answer is...
YOU CANT
no seriously, you can't, it isn't actually possible
there used to be plug ins but such things do not exist anymore.
you can always do what i did and download blender (it's free), export your stuff as obj files (my stuff was just static so i didn't need to worry about information loss about animations), import them to blender, then export them as .x files
...although i never did work out why the colours never showed up properly
the directX SDKs used to come with plugins for max and maya but they no longer do
that's a "Ch" pronounced as a "K"
Computer skills I should have:
Objective C, C#, Java, MEL. Python, C++, XML, JavaScript, XSLT, HTML, SQL, CSS, FXScript, Clips, SOAR, ActionScript, OpenGL, DirectX
Maya, XSI, Photoshop, AfterEffects, Motion, Illustrator, Flash, Swift3D