I've had the same problem. It doesn't even show an error message. It just starts loading the program, then exits with no warning.
My problem was trying to load a .3ds model that was too highpoly. (> 10,000 polygons.) When I converted it to .x, it worked fine. If your friend is using 3ds max, and he is going to continue making models for you, have him download the pandasoft .x exporter plugin for it. As said before, .x is your best option.
I know that DBPro has it's own 3d file format (.dbo) but I have never used it so I don't know how much better this is to use. You would probably have to write up a little converter inside DBP or there might even be one on the forum somewhere.
My green thumb grew the tree my Trojan War horse was crafted from. With roses in our pockets we rally round the tombstones. Ashes to ashes, we all fall down.