Can we make games with 3DS MAX?

[Raz]

Thanks for the info! I think I'm ready for C++. I'll go with UDK. Oh, it's free.

Are you a programmer? If you're not this is NOT the language to learn first. Really. You should learn an easier language like Java, there are still plenty of game libraries written in Java without the complication of C++

You should spend a while familiarising yourself with java and your chosen IDE (I use netbeans) then you should have a look at some game libraries like libgdx (open source, cross platform game engine) or the lightweight Java Game Library (lwjgl, which is the same as libgdx and was also the library Notch used to make minecraft)