Pierre Jasmin of RE:Vision Effects recently posted some advice on working with 3D Studio Max; here's a rewrite:
Some AE users AE has limted support of Discreet's RPF channels in 3D Studio Max renders. AE only supports 8 bits/channel extraction with the provided plug-in set, and supports only RLA (11 of the 16 RPF channels). 3DMax has a Combustion workspace export and RPF support is much better in Combustion 4 than previous versions. But there is another option if you want to stay with AE: the Max2AE plugin from Boomer Labs.
MAX2AE bridges the gap between MAX and After Effects, matching all aspects and parameters of Max cameras, lights, and objects. More from Boomer Labs: "MAX2AE also incorporates the ability to create 'helper planes' in MAX which represent your AE layer or comp. These 'helpers' provide a highly accurate way to envision the AE layer relevant to your MAX scene. These 'helpers' can be animated just like any other MAX object, then used to output keyframe data to AE layers for a perfect match! Even allowing them to be rendered from MAX for the purpose of generating track mattes for object/AE layer occlusion!"
More advice working with 3D apps can be found in Creating Motion Graphics with After Effects, Volume 2, by Trish and Chris Meyer (3rd edition released in June 2005).