I don't think you can import .max files can you? At least it didn't work for me... From what I've read you need 3dsMax installed to use a conversion program like Deep Exploration to convert .max files. You can import .3ds files though.
It seems that the .max format isn't public so the conversion applications require Max to be installed to translate .max files, that's my guess anyway. I'm not sure how much would be compatible between .max and .lws, you may be better off having the objects converted to .3ds and rebuild the scene in Lightwave. Perhaps you can find someone with Max who's willing to convert the stuff for you.
Nope. it is the only way. Max is the only thing that reads max format unless you have a programmer that reverse engineered Max. But most software license makes that illegal.
3d exploration requres Max to be running to convert files. Most max houses that need to go to game engines have exporters running in max to do that, not a seperate app that converts.