The short and simple answer, assuming you mean by "work" having the imported models work like models from the Alice gallery, is that you can't.
Both Maya and 3DMax produce much more complicated structures than Alice 2.0 can support. In particular, the models have both a mesh/skin and an underlying armature/bone structure. The skin shows the model detail while the bones are used for movement.
If you want a purely static object, such as a chair, etc. - you can often just export the mesh or find it on the web (look particularly for models in .obj or .3ds format). You then can use Biturn or a similar program to convert the mesh to a format Alice can use.
For more details, look at the various postings in the "Share Object" section of the forums - and then maybe try the suggestions that come closest to what you want. But be prepared for a lot of work and frustration.
Good Luck