basically orion has it right, max files are just project files that contain everything in your work, anything exported (afaik) will loose all forms of modifiers when exported, which includes stuff such as meshsmooth (if it has meshsmooth on it will collapse it with the mesh so when exported the whole entire meshsmooth will be saved) UVW mapping, and that stuff
.mtl is a material library file used by 3dsmax which is a compiliation of all the materials saved into one file.. so that may be another problem, now i may be wrong, it may be a simple material file.. because .mat is a material library, i've never heard of an mtl file
also.. which this seems logical, if the materials seem to work, but the textures dont, its definetly a placement problem, where you have the textures saved in a different file than what the material file says they are saved in (which is obviously very common since everyone saves stuff in different places)