Well, When i first started out, i was using Milkshape 3d(acouple months), and after i got to know that like the back of my hand, i decided to move on to max. When i first got it, i was pretty confused myself, but i learned some cool stuff by trail and error. I also used
www.polycount.com's tutorials, and Cold fusion(which is dead now i believe...). But yeah, my advise is to start out low(milkshape 3d), and work yourself up. You should also try lightwave, thats what Vassago uses. He claims its better, but im too lazy to switch modeling programs.