Revit Architecture generates the FBX file and saves it in the target location.
You can now import the FBX file into 3ds Max, using the 3ds Max FBX Plug-in.
You can download a high level that details FBX 3ds Max Design interoperability.
Revit 2011 FBX files are fully compatible with only 3ds Max and 3ds Max Design 2011. When you import Revit 2011 FBX files into 3ds Max 2009 or 2010, lights, materials, RPCs, and environments are lost; only cameras and geometry are imported. If you are using Revit 2010/2009 FBX files, use 3ds Max version 2009 or later.