3DS Max is compatible with UDK, you export the model along with the animations out as an FBX and import them into UDK, it is a rather long process but you can start by getting the static meshes into the engine to see how they work.
UDK is free to download and it is a bit tricky to get the grasp of at first, there are tutorials out there and i can direct you to a few (maybe i should start a forum thread up on this)
Dragux
Logan joined
This member has provided no bio about themself...