there is any way to do that?

directly? dunno, has been asked several times already,search the forums. if you find nothing, there are a lot of workarounds:

max --> x --> mdl
max --> 3ds --> mdl
max --> obj --> blender --> mdl
...
...
...
or PolyTrans ($$$)

I asked the same question and didn't get a reply. It's a big deal for me as I do all my modeling in Max8. malabar.tv has two tools that did this for max v5 but I havn't been able to download the demo. You supposedly could build entire levels in max and convert them to GS.
The "workaround" works but is much more time-consuming. I import 3ds into the MED and this works okay. Terrain meshes work this way too.

That's all I know. Much of GS remains a mystery, but I'm fascinated...

Rockfleet