You need to learn about UV mapping and the material editor in 3D Studio Max. The basic steps are:

1. create model (done)
2. apply texture coordinates
3. paint a texture or alter a photo image to fit over the coordinates
4. create a material in the 3DS material editor (which includes your texture) and apply it to the model
5. render
(There are many many options for materials within the material editor; some are procedural.)

Also, to improve your render without or in addition to UV mapping (or texture coordinates) and a texture map, you should adjust the "normal" value on the polygons/faces that make the ridges or threads of the screw. You need to select the faces that make the thread and edit the mesh normal values-- perhaps 20 or so. It looks like the normal value is above 30 which is "smoothing" them out. Also, when you make your material you will need a high "specular" value; this will make your object shine more like metal and less like flat paint.

A detailed answer is beyond the scope of a forum post. Again, you must set out to learn about the UV coordinate/texture coordinate application and material editor first. As for rendering-- for real time rendering you'll need access to good shaders. For pre-rendered images as you've displayed, you'll need to put that on the back burner until you get the other stuff sorted out. You can't judge the render too much without coordinates and a map. 3D Studio Max is a quality program very capable of producing an image like the first one. The web is full of tutorials for this sort of thing. A quick google search will get you started. Good luck.