When you export from max, there are a number of settings which allow you to
control whether materials or lights (and other elements) are exported or not.
Make sure those items are checked.
There are also some kinds of material which cannot be exported as shockwave 3d
shaders. These include:
* materials with hierarchical textures
* any materials specified in a Mix Map, a Composite Map, or any other 3ds max
4 map used for compositing, blending, or masking a map
* 3d procedural maps
* environment maps
* animated textures or video sequences
Hope this helps,