http://www.renevo.com/Downloads/w3dimporter2.zip
This script is for gmax but I use 3D Studio max for my course at uni and didn't want to use gmax except for exporting back to w3d. So I just tried running this script on day in max 5 and it works fine. can import and texture all ya models fine.
If you dunno how to run max script files, default .mse I think, do this. Goto your utitilites panel, the one with the hammer icon near the top right of your screen. Then click on the maxscript button, if its now there click on the more button then maxscript for the popup. Then click on open script and open the .mse file. then from that popup
file > evauluate all.
Then the w3d tools should appear in the drop down box on the right panel of max, simply click the drop down box and select it again and your there. Import your w3d files into max.
This works with max5 although I can't confirm with any other versions cos I haven't tried them.