Exporting from Max.
You can export things two ways in max. File>export or File>export selected.
I normally choose the select way. For wings i choose the .3DS format. and then uncheck "Preserve MAX's Texture Coordinates. Sometimes this is not a problem, but if it wont export this check box is normally at fault.
This is what i get in wings. The blue shows any holes in the model. (wings
only supports "winged geometry" meaning no holes.) You may find that
you have to cut some faces in the holes to make sense of it. I normally just
hide them. If you right click in face mode you can "hide" selected
faces. To bring them back right click in body mode, "show".
You might also find that the scale of your max object is huge. You can frame
selected objects with A or shift+A (i normally select them in the geometry graph
if I can't see them) If your object is not listed in the geometry graph it has
failed to import.
Bringing models back into max is a simple matter of going export .3DS
You will have to convert from edit mesh to edit poly. And any hard edges you
had in wings will produce breaks in your mesh in max. Simply Select all the
verts and wield them at a low threshold to cure.
Max 7 can import .obj files, you could try this as well. (if my .3ds file will not export I will try other types)