File menu > Export Selected
Export converts and exports selected geometry to a format supported by your game pack. If you're not using a game pack (that is, you downloaded gmax from a Web site), gmax does not support export.
If you're using gmax dev (the developer-only version), your development team will provide code that lets you export data in the desired format.
Procedure
To export selected objects to a file:
Select one or more objects.
Choose File menu > Export Selected.
Choose an export file type from the Files Of Type list in the file selector dialog.
Enter a name in the File Name field.
Depending on the file type you choose, you might be presented with options available for that export choice. If a second dialog appears, choose the export options you want.