You're looking for Boolean operations. The way I've seen them work in other modellers is you have your box, then you make another box that's the size of the hole you want, position it accordingly, then click a button like "OBJECT SUBTRACTION" and it will delete the "hole" box leaving an empty space in the other box where it used to be. I unfortunately do now know how to do this in gmax, giving up on it after finding out it doesn't export animations and is a little on the illegal side for use with DB.
Check the help files in gmax, they're fantastic.
Crazy Donut Productions
Current Project: KillZone