i had been struggling with milkshape and exporting the models to obj files (with textures)
ive worked it out with some help
ive not used gmax, does it import obj files if it does then it should work but youll need to edit the obj mtl file (when you export as obj 2 files get created, the model (obj) and the texture/material files (mtl))
if you edit the mtl file youll see each section has numbers then the line where the material is pointed to, only thing is not a lot of programms can read dds files (freelancer material files)
so they need converting to png 1st
then edit the line in the mtl change the .dds to.png resave making sure you save as .mtl then should work
here a render of a shire i did