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let me share with you a bit of information about how to define materials in Max, and how to export your objects once you've defined these materials correctly.
All this is specially tricky in the beginning, so just be patient. It took me ages to realize how it really works, but with this little help you'll have it much easier In the end you'll see how fast is work with Max.
The steps should be something like the following (no matter the Max version you're using). I'll add some screenshots in a near future for a better understanding:
1. Be sure you have unwrapped/mapped the object first. You can't export if you haven't mapped it.
2. Create a multi material in the Materials stack.
3. Add a gMotor2 submaterial inside that multimaterial. Click to edit it.
4. Click the DirectX9 button and start defining the material's properties: use a simple shader, for example a T1, as it's easier to define.
5. Select the texture and the rest of material's parameters (is similar to how you do it in 3DSimEd). Click the "Copy to all" button to copy the material's Dx9 properties you've just defined to Dx8 and Dx7.
6. Go back to the multimaterial (clicking the parent level button on the material stack)
7. Delete the other submaterials inside the multimaterial, by default stardard ones, as they can't be exported.
8. Select the multimaterial in the material stack.
9. Select also the object you want to apply the material to, but be sure to select the root mode of the object. I mean, if your object is a poly you can see in the command panel the "Editable poly" tree, with vertex, edges, borders, polys and elements modes inside. Be sure then that "Editable poly" and not any of the other modes is selected.
10. Now click the "Apply material to selection" icon (it's in the command panel also).
The previous steps applies the multimaterial to the object. But an object might have different materials applied to it. Imagine a wheel, for example. You have the rim (which is usually metal) and the tire (which is rubber). So you'll have to define the material used on an element/poly level.
To make it simpler now let's apply the same material to all the polys of our example:
1. Select the "Polygon" or "Elements" mode in the command panel and select all the polygons on the object.
2. Now go down in Max's command panel until you see the section "Surface properties" (it might be collapsed by default)
3. Now in the "Set ID" field write the ID of the submaterial you want to apply to all these faces (take a look in the material stack, the ID of the submaterial is on the left)
4. Now you should be able to export without errors.
As i said this is just a simplified way of exporting. Usually a car has different materials: for example chromed parts, painted metal, leather, etc. You only have to create all of them as submaterials and then apply them to the different/polys as i've explained above.
Let me do a couple of suggestions:
If you don't know how to define the materials just open some finished car in 3DSimEd and reproduce the material properties (i mean, values) in Max. That will be faster than trial-error learning method.
Be careful with cubemaps. If you define the Dx9 material and you press "Copy to all" usually the cubemap is not correctly copied. Check that manually to avoid the "Cubemap not defined" (or something like that) error when trying to export.
Be patient. Beginnings are a bit hard on Max (as i said it took me ages to be able to do what i've explained above, as it's not usually properly explained), but you'll see it worth the effort. I understand that what you've read before may look a bit complex being new to Max, but after doing that a couple of times you'll apply materials in a matter of seconds.
That's applicable almost to anything related to Max (or any other thing in life, hehe): once you learn some tricks and you had repeated them a couple of times you'll be able to do it without thinking. And you'll say "How could i live without knowing this?"
Believe me, you won't miss 3DSimEd, zMod or any other basic tool anymore. That's why Max is the tool used by professionals