Frogger you can do that with exporting to DirectX format & using the Max5.1 SP1 with CgFX plugin - i know cause i use it all the time.
it'll export the Shader (in Cg or asm) which you can then use on the DirectX file you've exported which already has all of the FVF data setup so all that happens if you setup the header in your code and load the nessities of the shader - poof its all there ready for ya.
has made alot of artists lives easier, Maya also has a downloadable plugin for it and Softimage XSI 3.5 has it builtin which has been an awesome help to alot of development houses

Milkshape2 is likely to have this ability as well (basically because all nexgen games will rely heavily on them)
the future looks bright... the future look nVidia
Within the Epic battle of the fates the Shadow and the Angel will meet. With it will harbinger the very fight of good vs evil!