I think you'll need to import it into MED, so it can texture it, remodel it and make it engine-ready, then you add the model into WED.

I don't believe you could just export to WED from 3DS Max...

The issue with no textures is that WED wouldn't know how to apply them, that's why MED gets involved (as I said, it converts the model data to a format WED can understand and display).