I just found an older thread on this, here's what I posted before to get the TGA into the Max stuff and on to the model to preview it.
Yep that would be this beasty , hit 'M' to get it
http://i116.photobucket.com/albums/o34/slazzir/MaterialPalette.jpg)
Pick one of the Material slots and look for Diffuse and just click on the small squar grey button next to it.
This opens a new window, in there double click on Bitmap.
http://i116.photobucket.com/albums/o34/slazzir/ApplyBitmap.jpg)
This takes you to the browse window, look up your .PSD=>saved photoshop file.
Hit Open, you'll get a new message yapping about collapsing the layers => Hit OK.
Tadaaa your PSD is now in 3D-Max, now select your door.
Hit Apply to Object in the Material palette ( marked blue in the screen) and hit Show in viewports ( Marked green in the screen).
You know should see your texture on the door itself. It might look ugly, thats because Max doesn't show it in high detail in the working space.
Look for a small Teapot Icon at the Top right of the screen, thats the quick render button.
This will show you the door in full detail.
Whats so great about this ? Well everytime you alter and save your photoshop file, it'll also get updated in Max.
So every time you add a detail and save , you can quickly check it out in Max. This can save you some time and its great if your just on start of your texture.
Though in the end you still get the best idea what you're doing when viewing the texture and door in the game itself.