“In this demonstration we go through a few different ways of getting your work into Unreal Editor 3. Includes: * Exporting ASE files from 3dsmax * Exporting PSK and PSA files from 3dsmax * Importing into UE3 * Creating a basic material * Applying an Animation in UE3”
http://www.cgarena.com/freestuff/tutorials/misc/ue3/ue3_import_turntable.html