Just checked my installed gmax for you.
I can import the following file extensions: .3ds / .prj / .dxf / .mdb / .gr2 / .obj / .shp
Of which the .mdb and .gr2 are facilitated by remainders of my NWN2 escapades.
Therefore, an out of the box gmax doesn't like .fbx files.
You could try to look for an fbx import plugin, I'm not sure if one of these is available on the net
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