Your kidding right?
No commertial 3D engine supports that file format. Why? Because it is FULL of superfelouse information. A max file is meant to contain everything related to 3D studio max, most of the data would be useless in a game. The format itself is also very difficult to support from a technical standpoint.... it was made to be opened in 3ds max and max allone, Thats why there are very few (if any) converters between max & maya for instance. There is always an intermediary model format used. .x is a far better file format.
What is it that you are tyring to do that you think support for the .max format is necesary?