In Gmax, go to the Utility panel and hit the W3D tool button.
You'll see each object has 2 properties : geometry and bones.
Uncheck the geometry and then export your model again.
The bones will no longer be concidered as geometry and will not showup as a mesh in the game
Ya, thats it. BTW the two options are Export Transform (bone) and Export Geometry. Make sure Export Geometry is unchecked and Export Transform is check otherwise Generals won't register the bone existing.