I'll try to explain this in simple terms.
First off for the collision meshes they must be named correctly. col0 for the collision mesh used for projectiles, col1 used for vehicle collision, and col2 is used for soldier collision. col3 is used for AI meshes but since BFheroes has no bots or singleplayer, need not worry about creating this mesh.
Now the way it's set up in the scene is important. But it is easiest to let the wizard do the work for you. First off open the utilities dialog:
On the top right there is a few options. StaticMesh is typically used for statics, bundledMesh for vehicles and stuff. I won't go into what the others do.
First make sure you have your lod mesh(s) and collision meshes selected, then click on which ever button that you want your static to be. In this instance you could use BundledMesh if the object is a weapon, item, or vehicle. (though I think items like head gear and stuff are SkinnedMeshes in bfheroes)
It then adds all the dummy objects and correct hierarchy to your objects. Your visible mesh should be parented to a dummy object called lod0 and that would be parented to Geom0 (or in some cases Geom1). You can have more then one lod but for simplicity I won't explain how to set up multiple lods. The hierarchy is very important in BF2/BF2142/BFHeroes. If it is not set up right your static won't appear correctly, not at all, or cause CTDs, so be sure to get it right!
Now make sure you have the col meshes named correctly. If they are, they should be parented to a dummy object called "nonvis_" which is then parented to your visible mesh. other lods can have their own collision meshes too but I won't go into explaining that.
An example of what it would look like after you set the object up as a staticmesh (bundled mesh won't look much different in this respect other then the root object name)
Once you got everything in order, export it using the exporter
Be sure to tell it not to generate samples if your exporting a vehicle or something similar. (set samples size to "none" and check the custom UVs check box). If it's a static you want to be lightmappable then you should unchack the custom UVs check box (so it will make the samples file for you) and set a size for the samples file. (auto is recommended setting if you don't know what to use as a size)
Then after that it will export then you can go in to where it exported and edit the con files. Be sure to set up the materials on the collision meshes. Just make sure before export the mat IDs on the collision meshes are the default 0 (or mat ID 1 as it appears in Max), then use the con file to define what material that the collision mesh will use. Use existing object templates as a reference if you don't know what to do with that.
Exporting an object is one thing but getting it ingame is a different matter. That part I hope you can figure out on your own or get from a tutorial somewhere. Also make sure your texture paths are exported correctly. On the export dialog, make sure the check box for the "Fix Image Paths" option is checked.
That's my "quick" explanation of it and even then it's kinda lengthy. Sorry, but unlike BF1942/BFV, exporting a BF2/BFheroes object is no simple task.
The images and method shown apply to the Max version of the BF2 scripts. Some things like button names and/or locations may be a bit different in Gmax, but the process is pretty much the same for Gmax as it is for 3DSMax.
However if you run into a problem Gmax related, I can't really help. I don't use Gmax and thus not familier with any scripts it uses or what limitations it may have beyond the obvious. Sorry. :P