You should have received a .MAX file together, which contains the model. I'd suggest exporting it to SMD, as it's a format supported both by 3DSMax and GLScene fairly well. There's an exporter for 3dsmax for free, but I'm not sure where you can find it, tho'.

If you don't have the .MAX file, try exporting the .BIP file to SMD using the same exporter I suggested above.

You can also try exporting the model to MD3 format. I've heard of an exporter for 3dsmax. And of course, the format's supported by GLScene really well.