Ooooooh thanks a lot!
Much easier. Also to get it properly textured, I have to do: Export from 3DS max to .md3 (used the one on your site), import md3 in Milkshape, generate quake III control file, then export from Milkshape again to make it export the md3 with the information put in the control file. Which is fine. I'm glad it for some reason works to export from Milkshape when the input was md3 from max, and not OBJ. (Just typing all this for future googlers with the same problem).