I'm no expert, but I've learned a lot about BSP Lately so here goes.
Currently BSP causes a lot of problems with lighting, standard collision and transparancy. There are work arounds but they're not for the faint hearted. BSP is not the 'easy option' it appears to be. If you still want to persist you have 3 options:
1: Forget 3ds and use Valve Hammer (Free Download). This is the program that invented BSP in the first place so it's the best tool for the Job. Look in the 3d chat forum for the 'Ultimate BSP Thread' & flick through to page 3 (there are a lot of posts). Down at the bottom, I posted a guide to setting Valve hammer up to work with DBPro, It's quite easy and has some great help files with it.
2: Continue with 3ds; goto www.maxplugins.de and download the Panda X exporter plugin for MAX. You can now use the PVS/BSP converter program that came with DBPro to convert your X models into BSP's. I've never done this myself but there are posts about it in the thread mentioned above.
3: Forget the whole BSP buisiness and write your own collision routine for your models using the 'Intersect object()' command. It's a lot of work, but you'll have more control over your project.
Good look, You'll need it.
Strings are PChars ??????? What a World