If you are using it for just a scene in max, try this:
In your material editor, look for the button that says "Standard" (under the sphere material examples.) Click it and select "Raytrace"
Once this is selected, you will be presented with a different material interface. You should see "transparency" with a black box to the right of it. Click this box, and drag it to grayscale value that you feel comfortable with. You will also see a setting for reflection that is similar. You can change this to a value you want as well. I would also suggest changing the reflection type to "falloff" and setting it to "fresnel"
Apply the material to an object and render it. It should be transparent and have refractions appropriate to the shape of the object. To get the "shiny" glass look, mess with the specular settings to get the shine you want.
(I don't have 3dsMax in front of me right now, but I am pretty sure that this is the process. Sorry if it is hard to understand.)
Also, I found this tutorial that covers what I am trying to explain:
Try this tutorial
Skip to about halfway down and it has step-by-step to get what you want.
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