I think you have to dig a little deeper. Tweaking some settings (material/light parameters) often help to make things look better. But we need screenshots of the good image (in max) and the bad one (in your app) to tell the difference.

I can tell you that it is impossible to make your model look "exactly" the same as in max, because you don't know their shaders and dummy light parameters. There are a few things you could take a look at:

> Texture coordinates
> Vertex Normals (are they really normalized?)
> Light intensity, ambient diffuse and specular color
> Material ambient diffuse and specular colors
> Etc...

You have to read about how lighting works. Eventually, you'll find ways to make your model look better. But first show us some pictures..