Hi ImmoMan,
you downloaded the right program, Gmax is the 3D Modeling tool you need to create your own models. But you also need the gamepack released by Westwood called RenX to be able to export into the w3d format C6C Generals uses. You can download it here:
ftp://ftp.westwood.com/pub/renegade/...Installer2.exe
1. First you install Gmax
2. Then you install RenX which is automatically installed into Gmax' folder since it uses the program as basis
3. Install the script to import the w3d models
After all that you should be able to create your own models and export them to a w3d file.
Hope I helped you, and good luck!