Depends on what kind of file you want to export. For polygon model, you can just "export" (not save) as obj. Just turn on "objExport.mll" under plugin manager then choose export.
For file with animation, you should use FBX. Same as obj, but this time turn on "fbxmaya", then export as fbx. On the Max side, you will need to install the FBX plugin for max in order to import the FBX file. You can get the plugin from AREA (
http://www.autodesk.com/m-e/area/).