The MD3 import is a pain to figure out, it's written in maxscript.
Put q3-md3.ms in D:\gmax\Scripts\Startup
Then if you click the hammer icon in the right hand panel (tab 6), then press the MAXScript button. MD3 import should then appear in the Utilities dropdown.
md3tomdl will combine multiple Q3 meshes into a single MDL file, but not very intelligently. The skin vertices of each mesh will be laid on top of each other in order to reduce down to a single skin. Similarly the animations are constructed by taking frame 1 from each mesh and combining those poses to make frame 1 of the mdl, all the frame 2s into frame 2, etc. I don't think I respected tags at all when combining either.*
If you're building your own model it makes sense to keep everything in one mesh because that's what the end product will be.
The standard way to animate in gmax is using the Skin modifier. You construct a set of bones for your mesh, then apply the skin modifier to the mesh. In the panel for the skin modifier you can add bones as controllers, assign vertices to them either by setting envelopes for the bones or by painting weights - google for "gmax skin modifier" and I'm sure a suitable tutorial will be there.
I've packaged up the latest version of the ogre, along with all the other bits of the pipeline (the skin, the batch file, the script for md3tomdl, the md3 output). It's at
http://www.btinternet.com/~chapterhonour/ogrepipe.zip
If you can't get that to load, let me know what kind of error you get and I can try to diagnose it. I expect the skin won't work straight off because gmax stores an absolute path for it...
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The problem is that you can't make the conversion more intelligent automatically. The number of decisions you need to send to the conversion tool is so great I'd spend most of the time writing a parser in C++ to read the config file. It seems smarter to write the tool in a scripting language, but I'm aborting my attempt with perl because even I find it awkward to work with and I wrote the damn thing. Python or Lua next...