I don't have 3D
Max, but the only way to do that would be to export the file as FBX from
Max. Sometimes, for props, OBJ will work better.
In other words, you will need 3D Studio
Max to do this. Without it it is not possible.
You will need 3DXchange Pipeline, but then you can import those the FBX or OBJ files directly into iClone.
If they are characters, you would need to export them as FBX and import into 3DXchange. It would come in as a prop, but then you would convert them into a character. There is a built-in template for 3D
Max.
As you can see, it is doable, but there is no easy way. Besides importing the objects, you may also need to apply/adjust the textures that come with them.