If your using the MAX2MS3D plug-in we have here in the d/l's it should work for MAX 9, if your model has more than 2000 vertices it can take a few minutes to convert it to ms3d. Because MAX doesn't use the same XYZ orientation that ms3d and most games use, the plug-in has to recalculate everything in the model, a 15k poly model can take a good ten minutes to convert, it's not uncommon for the plug-in and MAX to freeze if you do anything with your PC while it's converting the model.
The OBJ & 3DS plug-in's for ms3d are old and can cause problems for importing models in newer versions of the format. Smoothing groups can cause a checkerboard effect in milkshape (some polys have been flipped to show the back face), with 3DS you can also find that objects/groups are imported out of alignment and orientation, depending on how they were built.
I use MAX 8 but only for non game content, usually for projects that have a very high poly count or that requires quad polys, for game content I only use Milkshape as that is what it was built for, the rest are based around architectural requirements.
**shuffles off with a new headache**