select, diffuse map, then get material and pick file (I think, it's innate for me now )
then search down he menu until you see a file location slot, click browse and find the image, 3dsmax natively supports thopse formats so no conversion needed
Select your object/model and go to the click on the Material editor icon (four coloured spheres).
Click on one of the grey spheres and scroll down until you see "Maps". Open this menu and then click on "diffuse". In here a list should appear. Click on "Bitmap" and a dialog box should come up asking you to select your texture.
When done, click on the icon with the sphere and box with an arrow (top of menu) and then the checker box just right to that. Your texture should then appear on the model.