Because simply naming something .max, does not make it a ".max" file. You'd think with a 3000$ application, you'd know this.
I suggest the Autodesk forums, since a .x to .3ds/.max, is a general question better much more suited the people that made the modeling app then the makers of the mesh you're trying to import.
Conversion and file types are covered in this forum, but far be it from us to spoon feed the answers for the thousandth time. I know I myself have covered this topic for people, so I have my doubts that much searching was done.
Loc