The .max format is totally different from the 3D formats widely used and therefore you won't find im- and exporters. Instead of storing vertices and triangles and such it stores action, e.g. create sphere at 0/0/0 with radius 1 and then also stores things like modificators applied to an object. So if you actually wanted to use it somehow you'd have to recreate all those actions and modificators in your own application.

So converting from the usual formats like .x to .max is impossible, and besides this it's a closed proprietary format that's mostly also locked by a copyright.