Chris move that to modding section.
Luckily, from the masses who use gmax/3ds max, I use Milkshape. You must download the plug-ins for milkshape by Gueest
MS3D Exporter - Wc3Campaigns
You can import an .mdx model but when you do, you lose the animation. Also if the texture is not in bmp/tga in the same location when importing, the file won't open. What do you want to edit? You can use war3 model editor, but you can also ask at
The Hive Workshop - A Warcraft III Modding Site - Powered by vBulletin since they are into modelling.