I made a tutorial on how to import Vehicles into JA, here is the link:
just to make it clear, you cant creat new vehicles using Gmax or Milkshape. it works only with 3ds Max, you have to export your model as XSI file and the use assimilate to creat a glm and a gla files. the way using md3view to export a md3 model as glm file does NOT work. read the tutorial.