I dont believe that there is a way to import an HL model with 3dsmax, but u can with MS3D!! If you have MS3D and u want to learn how to import it, try to get me on AIM or ICQ!! I would have to walk u through it!!
There is away and its pretty simple. You do although need Milkshape 3D to help in the process.
First decompile the model in Milkshape 3D then import the reference SMD then export that SMD as a 3DS file or any other format that 3D Max will import. Then goto 3D Max and import the file into 3D Max and presto.