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You select the splines you have created in Photoshop so they highlight as in the first image, then goto file > export > paths to illustrator
You will get the usual save location request screen, choose somewhere you can readily find and give it a filename.
Open max and goto file > import then change the filetype drop down to illustrator (ai) files and browse to your saved file, open it and you will be asked if you want to merge with current scene or replace, merging being the option you want if you are adding to an existing model set.
Max will then ask if you want to imprt as a single object or multiple objects, use multiple if you have more than one "shape" in your ai file, ie you have 2 or more of the shapes I have in the example above within the same file.
Your shape will then sit happily in Max and you can use the extrude modifier.
I'd advise you to scale the object first as it will be tiny on your grid and fine adjustments within extrude will be difficult.
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