Data that can be imported from a 3ds Max file includes meshes, materials, mappings,
lights, and cameras. Procedural materials, smoothing groups, and keyframe data cannot
be imported. For importing lights and materials, use the CONVERTOLDLIGHTS and CONVERTOLDMATERIALS
commands.

You choose a file to import in the 3D Studio File Import dialog box (a standard file
selection dialog box) and then change import settings in the 3D Studio File Import
Options dialog box.