Like wind27382 said, the best thing is you get yourself a DVD tutorial or look for tutorials on the net. I think
3DTotal.com has some rigging tutorials, not sure though. Actually there are a couple of ways you could rig your character, you can use bones, the biped system, simple shapes or you can even use a spliced up copy of the model.
For beginners I think using a biped skeleton is easiest. You simply drag the skeleton to the right size and then start adjusting the limbs to conform to your characters body.
3DS Max comes with tutorials and examples as well, take a look at them.