.Max isn't a model/object format.
It's the 3dStudio's proprietary format used to store ALL informations in a scene.
The only importable options in DB/DBP are material/texture/colors info,mesh,animations,vertex color or any informations relative to the model iteslf.
Your best bet is to export from Max using an .X exporter plugin or script.
Don't bother epxorting to .3ds also,it's just an unnecessary step which causes more troubles/bug(would I dare say features?
) to conform to therefore will cost you more time.
Modeling Tip of the Week:Keep away from the infamous frog dissection pose!