It seems that you can import Adobe Illustrator graphics (.ai) to 3ds Max just fine, but it seems that this is doable only in case that the AI file has been originally created as PDF compatible (the option has been selected during saving. PDFs that are not compatible AI graphics usually give "improper format" error message in 3ds Max. Perhaps some dedicated converters might also be of help when it comes to ai to 3ds conversion.
Open AI file Open 3DS fileA 3D CAD translation software