In the 3ds Max file, the model is a single editable mesh object, so merging this into your scene is simple plug and play. Materials and textures are already applied. For the other exported formats, the model will import as a single object as well. All objects and materials have sensible, descriptive names. Some materials do contain Vray maps and materials, so they may need to be recreated in a non-Max or non-Vray environment. The .OBJ format contains its own set of texture bitmaps so it should import needing little or no extra attention.
Model created with 3dsMax 9 and rendered with Vray 1.5 SP2.