The two model formats are .mesh and .mgm. There are a few ways to convert them, personally I use a program called 3D Object Converter just for convenience. You just need to load up the desired mesh or mgm file in there and export it as an .obj or .3ds file so it can be imported into Max. If you have another preferred format which the program supports feel free to use that, I personally find that .obj is the most efficient way to go.
To get the associated textures right click on the model file you want in TRE Explorer and choose chain export. This will export all files linked to the model, including the textures, along with the model file itself. Generally you'll always want to chain export the desired model for this kind of work.
The textures will be in DDS format and will need converted to something 3DS Max can load, like a tga or png. There is a plugin for Photoshop Which will allow you to open up DDS images, then you can just save them as something else. You'll find this plugin in the tools forum.
When you get the model into your 3D app there should be a bunch of blank materials with it. Just look at the name of each material, then go through the textures you've converted with Photoshop, find the one with the same name and assign it to the material. The UV should work fine, just make sure you assign the correct texture or things will look a mess.
There wont be and rigging included with the model. Hopefully when some of the newer tools in development are out there we can get rigging out too, it would definitely be nice that's for sure, rigging is pretty frustrating after all.
I'd go more in depth but I stopped using 3DS Max years ago. Hopefully this is enough info for you to get things working.