There is a command in AutoCAD 2005 - 3ds out - What is the equivalent in newer versions of AutoCAD?
Autodesk removed the command after 2005 however they then added a utility for all AutoCAD based products up to and including 2008. The utility still works up to version 2010 however is not officially supported therefore may not work on all platform configurations. In 2011 they have introduced export FBX which is a better and more controlled way to export to 3DS Max. This can be found under File; Export