Hiya.
Ok, just to clerify a bit....You are using 3DS MAX? If so, you do realise that when you export from MAX, you can not have 'multi-textures'? In other words, your texture has to be a single texture? (i.e, you can't have a blue texture for the top, red texture for the bottom, another for bump map, and one more for a dusty covering). The textures also have to be in 'powers of 2' (16x16, 32x32, 64x64, etc....but, theoretically, can also be 32x128, 64 x 1024, etc.). The textures also have to be in a format that 3DGS can use (iirc, that's PNG, JPB, BMP and TGA). And this probably goes without saying, but the model has to have a UV map and actual textures...not just a 'material' (like the plain colors, or proceedural ones you can use in most 3d packasges).
Is there any chance of you uploading a model that does this so I can take a look at it? (not sure where to upload to...gotta be someplace online that does this).