Thanks, Bannor. I was starting it with the NWMax icon, actually. The problem was a registry error, and Old Time Radio helped me fix it. If anyone else experiences the problem, the fix is below, with thanks to Old Time Radio:
If you are running gmax 1.2 on Vista or Windows 7 and get the following error on import:
CoCreateInstance() failed
Please check your registry entries
CLSID {F088EA74-2E87-11D3-B1F3-00C0F03C37D3}
Open a Command Prompt as Administrator and run the following in the gmax directory.
"regsvr32.exe MAXComponents.dll"
That fixed the issue for me.
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-JFK