im pretty sure max does not have an import function for .mdl files, your better off using a program like milkshape which is about $25 i think i use softimage xsi 6. if you goto the tools thread in the gstudio forums there is a topic called: The Starving Developers QuickstartGuide 09/07/08 the topic as most of the alternatives to gmax.
your better off learning a 3d model program that does everything you need to use gstudio. maybe look at some alternatives to gmax. or goto the gmax forums if there is one and ask the same question there, as they mabe able to help.
i do not think gmax is the best pogram to use for what u need to do, maybe import it into a program like biturn or another conversion program or maybe milkshape will do it, but to be honest learn a program that does all the functions u need.