I've never textured in 3DS Max, but as I understand it, it uses UVW (Or whatever those 3 letters are, I forget) unwrapping to texture. Meaning it makes a flat wire frame of your model and exports it as a TGA or DDS or whatever, and then you arrange the textures on that in photoshop or something and load it to your model, and it wraps back around like a skin. At least thats the way I understand it. I'm not sure if it can texture the way Milkshape does it, I still prefer texturing in Milkshape anyway.
As for the selecting thing, it's been ages since I used that program... but as I recall there was something you do that connects all the objects together. I wish I could remember the name of it, but I can't use 3DS at the moment cause I have my video card disabled. If you know what I'm talking about though, try unlinking your objects/groups.
Until then you'll probably have to wait for Turkish or someone who uses the program more than me to reply with better instructions.