I'm sure it is not the best way to do this, but with the new GE 5.5.1 you can now directly import an FBX model. That being said, it seemed the 3ds Max to I3d converter has had issues with the last three GE updates where it made the model convert without textures. So if you export from 3ds Max as a .FBX model you can directly import to GE 5.5.1 and it will have the textures.
Like I said, this conversion process may not be the best method, so see if the link Sivy posted may work better. If not then try this.