First of all, there is a difference between a "prefab" and a "static mesh."
What you are describing would be considered as a static mesh.
Prefabs are uncompiled maps. When you go to Object->Add Prefab, you
will see that the files are in .wmp format. Adding a prefab to
your level adds new blocks to it that get lightmapped and compiled
with the other blocks you have created yourself.
If your goal is to use map/block prefabs for level design, then you can:
1. Create the blocks (a set of stairs for example) in WED, save it
as stairs.wmp, create a folder in the GS prefabs folder, copy it
there, and then you can use it in any new level you create.
2. If you want to use 3ds max to create map files, you will need
to get a plugin. I use Maple3D's "Game Level Builder" to
export .map files that can be opened and textured in WED or
any other level editor that supports .map files.
If want to create and include static meshes(or any mesh)
in your level using 3ds max, I would look at some of the other posts
in the "Editing Levels and Models" section of the forum. There are
a number of threads related to using 3ds max for 3DGS asset creation.
Good luck!
