Sorry, nevermind that part.
The tricky part is importing an ASE file into MAX despite the fact that ASE is MAX's native legacy ASCII format.
There are a couple of workarounds though...1) If you're using an older version of MAX, you can give this ASCII Import Plugin a try. You have to rename your ASE file to ASC and then import it. Works for MAX 4-6, possibly for everything up to 8 (Edit: Download importer for 6 and 7) and definitely not for MAX 9 (I tried). The source code is available from Autodesk, so maybe you can recompile it. I'll send you a box of cookies in the mail if you can get it working for MAX 9.
2) Give 3D Exploration a try (google it). It's older software but did a great job of reading ASE files and converting them to 3DS, MAX, or any other plethora of formats. It's shareware but may be limited in functionality depending on version. There was a full featured older version kicking around the internet somewhere that's available for free. The software has been rebranded as Deep Exploration, but that's retail software and mighty expensive.
3) Blender 3D - open source goodness. You can import ASE (I think needs a plugin script that I'm sure Kat has somewhere on Katsbits.com) then model it directly in Blender or export it out to something MAX can import.