tried with this model:
http://www.turbosquid.com/3d-models/medieval-smithy-low-poly-3d-model/225033

(removed small spears and swords)

used same settings as in the model video(unchecked animation this time) and it is perfectly imported.

Fbx2010 for max2009.

edit:
(install fbx 2010 but, select version 2006 while exporting, as in video)

here is the resulting shots of the level:
image link
only the spears are models, rest is level(debug panel says 3 ents that are spears, rest are drawn as blocks as you can see)

another edit: i used "Import FBX files" not "Import FBX files(2006)"