Pretty straightforward then... You have to hit it with a big brick...
OK, I'll expand on that just a tad...
First, ensure that all the parts of your Ziggurat have the "Aurora Trimesh" Modifier set on them. (You'll need to be running Gmax through NWmax, obviously...) (You'll find "Aurora..." down near the bottom of the list under the Modifier tab.
Next thing to do, assuming you haven't already, is to link your Ziggurat to a NWN AuroraBase...
Easiest way of doing that is to import an existing NWN Placeable or Creature - it doesn't matter what - into Gmax and then delete it all except for its AuroraBase and the "ignoreNgon". These should appear as a pale blue square outline and a pale blue triangle outline at ground level under the model.
Then, use the "Merge" option under Gmax's "File" menu to merge your Ziggurat Scene onto the little blue square and triangle which, by way of being small, will get hideously squashed.
LINK all your Ziggurat parts to the blue square of the Aurora Base. (Not to the triangle). OR, you can link one part of the Ziggurat to the base and link all the other parts to that first part. Doesn't really matter which way you do it for a basic Placeable. Selecting all parts of the Ziggurat and then linking them to the base is the simplest.
(Link tool is the icon that looks like two boxes tied together with string).
All you need do then is select the whole scene, Ziggurat meshes plus Aurora Base (and the nGon triangle), and then find "Export All" under the top rollout on the NWmax panel and press it. This exports the model, naturally.
This should give you a basic, working Placeable which, when you have renamed it and added a new entry for it in your Placeables 2da, should appear in Toolset and Game.
However - there are two other VERY OBVIOUS things I should mention.
First - as it stands, your Ziggurat will appear as a huge textureless blob until such time as you hit it with another brick to UVW map it. (You'll find that basic Gmax geometry fresh out of the forge, so to speak, doesn't accept textures. You'll just get a sort of colour change, at best. You need to use Gmax's UVW tools to apply textures and shift them about until they're where you want them).
Second - when you're certain the Ziggurat is the size you want it, you will need to create a PWK for it... otherwise, with no walkmesh, Creatures will walk straight through it which probably isn't what you want. Creating a PWK is very simple and done in Gmax - essentially creating a groundplan of the object, as high as you feel it needs to be, and linking it to a "...pwk" dummy linked to the AuroraBase. When that's done and you export the model, you should get both the model and a separate PWK file exported.
Those are the basic steps you need to take...
Obviously I'm not going into any details since I don't know what you do and don't know about Gmax yet or what manuals or tutorials you may have lying about. If you run into problems or just can't tell what the hell I'm talking about, just ask and I, or someone, will explain that stage further... or someone will probably point you at some suitable tutorial thing.