To accomplish this you wood need a copy of Max and the correct fbx plugin (recommendation only - can be found via the autodesk "the area" site) for Max and the same fbx plugin version in Maya. Once this is exported from MAX and then imported to Maya, you can save it as an MA or MB file.

I recommend fbx as its very good and keep all the geometry clean as some exporters will mess up the geometry so once you import is all gone Pete Tong...