Also know that one big limitation in Gmax is that it doesn't support DDS files. So you would have to convert all the textures to TGA if you wanted to see meshes textures in the viewport. Very annoying. I stopped using Gmax ages ago. You can't light-map with it either. :P
Also, if you want to do anything that involves BF1942/BFV, then use Max 8 or 7. The MDT tools don't work with Max 9.