I have just done this sucessfully using 3ds Max 8. I used a 256 x 256 bmp created in MS Paint 24 bit dropped on to a cube.
The fbx exporter in Max 8 is nice and simple, in Max 2009, its not a simple (in my estimation)

It would be very useful if someone could list out the steps and state which version of Max & the fbx exporter they are using.

What I can't get is shadows ?