I'm using models exported from 3ds max as .3ds and then imported to MED and saved as .MDL7. When I use these models in WED the collision with the player doesn't work properly (tried it with templates). Lets say I have a box there and the player runs to it. The box should stop him, but the player penetrates half of the box model and collides only inside of it. This happens with all the models I have tried. How do I fix it?

Try setting
my.min_x
my.max_x
my.min_y
my.max_y
to values you can read in MED or just play around with, say,
my.min_x*=2;
my.max_x*=2;
my.min_y*=2;
my.max_y*=2;

in the action attached to your model.

If you've got an A6.3 version, I guess there's an instruction like set_hull or
correct_collisionbox or something, just search the help file for the "collision" entry.

you should have collision working if you are using c_move and c_rotate. it will not work with my.x +<value> or something...

check workshop18 here, that will help you alot!
http://server.conitec.net/down/cscript.zip