If you have a copy of 3dsmax, you should be able to export into a number of formats from that program.
Unfortunately, if you do not have that software, I'm unaware of anyone having written a standalone/3rd-party MAX converter. The problem, as I understand it, is that .max files are not strictly geometry files, but rather files containing instructions to 3dsmax to tell it how the model was constructed --- so if one wanted to write a .max importer, they'd end up writing an interpreter to emulate the way 3dsmax reads files. And that's either very complex to do, or the info to do it just isn't publicly available.
I hope that's accurate, but I'm afraid it's not very helpful in any case ...
