If you are using 3D Studio Max 5/6/7 i suggest you use Cannonfodders exporter.

Using Cannonfodders exporter

You will find the exporter for max 6/7 here and on Cannon fodders site, that also where you will find the exporter for max 5.

Place the smdlexp.dle in you max plugin folder and start max.

To export properly all the model will need is a material a texture in the defuse slot assigned to it.

Go to file->export... select "Valve SMD (*.SMD)" as the save type and fill in a file name and select a folder. When you hit save you will need to select if it is a model or a animation you are saving, chose "Reference frame" for model.

Using Perpixel's exporter script

This exporters support for the biped is still a bit buggy.

You will find Perpixel's exporter script here.
Extract the smd_export.ms to the max scripts folder.

Before you export you will have probably have to make some changes to you model, start by convert all object to editable mesh and have a sub-material from a Multi/Sub-object material, assigned to it's polygons.
To do this select all the models right and under "convert to" select "editable mesh". Then in the material editor (M) select a empty material and press the material/map button

then select "Multi/Sub-object" from the list when asked select to discard the old material. Now drag and create all you material in to it's material list and set the number of materials to what you are using, when you are done you will need to apply the materials to the models polygons. Do this by selecting a model and go in to one of its three polygons modes (3,4,5) then select the polygons you want to apply the material on and drag the material from the Multi/Sub-object's list on to one of the polygons. last thing you need to do is select all the models that you want to export and you are ready to do the actual export.

To export select "Run script" in the "MAXscript" menu the open the smd_export.ms now hit Ok and choose where to save the SMD.

Using a Half-Life 1 exporter

Note: Half-Life 1 exporters only supports rigid vertex so if your mod has animation i suggest you don't use them.
You can find the exporters for max 3/4/5 on the Valve Collectiove and one for max 6/7 on The wavelength.

For thees exporters you will need to have all the used material in a Multi/Sub-object material and assign it to the model.
When that done go to file->export... select "Valve SMD (*.SMD)" as the save type and fill in a file name and select a folder. When you hit save you will need to select if it is a model or a animation you are saving, chose "Reference frame" for model.