First of all you need the Renegade gamepack if you want to model for Generals. Just search the forum, there are enough posts on that one. Install the gamepack onto Gmax.
Then I would propose you use the following importer:
http://gendev.origin-network.net/paf...=category&id=3
locate: "W3D -> GMax importer" and download it.
Put the extracted file into the folder:
[YOUR HARDDRIVE]:\gmax\gamepacks\Westwood\RenX\scripts\startup
Open RenX and on the right side look out for a hammer symbol. Click it. In the new menu select "MaxScript". Select "W3D -> Gmax" at utilities and then click "Load W3D Object".
Hope that helped,
- HEXman