Create objects with script?

You need to create a new game object and set its transform.position and .rotation to the character's position. Then you will need to add a MeshFilter component and a MeshRenderer component. The MeshFilter's shared mesh needs to be set to the object you created in Max.

 public Mesh objectToCreate;
 
 void Update()
 {
     if(Input.GetKeyDown("T"))
     {
         var gameObject = new GameObject("Some Name Here");
         var meshFilter = gameObject.AddComponent<MeshFilter>();
         gameObject.AddComponent<MeshRenderer>();
         meshFilter.sharedMesh = objectToCreate;
         gameObject.transform.position = transform.position;
         gameObject.transform.rotation = transform.rotation;
     }
 }

First of all, you must make a Prefab that contains your 3DS Max model.

Then, you just need to instantiate it by using Instantiate in your script, you can even pass the position where you want your object to spawn.