In case you havenít heard of it, thereís a great md3 importer for max. It's a script so dependant on how big the model is it might take some time to load it. It loads tags, skins and even animations.
Chris Cookson's gmax and 3ds max md3 importer:
Download the file and put it into your max folder under scripts. Load up max and open "Utilities" (the one with the hammer icon) and select maxscript. From there you load up the script and Import whatever md3 you want.