Ayu's correct. There is a plugin for Blender which allows it to build SL style parametric primitives. The resulting builds can be exported to a text file, and then recreated in SL. Search the scripting forum for "offline builder" by Jeffrey Gomez if you're interested.
Adrian Eisenberg is currently working on a similar plugin for Maya, which looks impressive so far.
I don't think any one has done anything specifically for Max yet.
Be aware that none of these tools will allow you to model the way you're probably used to. Everything in SL is made of primitives, kind of like building with legos. The Blender and Maya plugins simply allow those programs to create the same kind of primitives that SL uses, so you can create an SL model without having actually to be in SL at the time. There's no way to bring mesh models directly into SL. It's apples and oranges.
The best thing for you to do is to learn SL's modeling system, and try tp resist comparing it with what you already know how to do in Max. At first SL's tool set seems pretty silly and clunky if you're used to a more standard modeling application like Max or Maya, but you'll find that once you get used to it, it's quite powerful. Plus getting good at using it will make you a better modeler both in and out of SL.
Trust me on that last part; I speak from experience. SL's limitations force you as a modeler to develop problem solving skills that you ordinarily wouldn't. As a result, you naturally begin doing a lot more with much less in all your 3D work, and that of course is always the goal in all 3D applications; minimize poly counts, maximize efficiency.
Anyway, if you really, really, really want to bring a mesh model into SL, search the scripting forum for Jeffrey Gomez's OBJ Importer. It takes an OBJ file, and recreates it in SL by placing a triangular prim for every polygon. The results are obviously incredibly prim-heavy. I find it's a good tool for creating a scaffold, or 3D template, on which to build complex prim-efficient models. When there's a shape I just can't seem to figure out how to do natively in SL very easily, I find it's simple to just whip it up in Maya, let the OBJ script do it's thing, and then use the resulting build as a temporary dummy to build right on top of.
Hope all this was helpful.
