Technically you can't make a game with gmax itself, you can only make the assets for one with it - models and items; providing of course you can export them using one of the available gamepacks (MD3, FlightSim etc.), by converting the gmax file (http://www.katsbits.com/htm/tutorials/gmax_to_max_converting.htm) into something or by exporting to OBJ (http://www.katsbits.com/htm/tutorials/gmax_exporting-models-obj.htm) or MD5 (http://www.katsbits.com/htm/tools_utilities.htm#md5) and then converting the assets to something that can be used in another application.