can we use 3d-max to create sphere save as a file and use C/C++ to load it in a game ? thanks

Yes. Get a plugin, from the internet, to export the file to what ever format you want.

The only funky thing about 3ds that I can think of is that it stores the Z and Y axis different so you have to swap those when loading it with c++. Loading a 3ds mesh is pretty easy. I find loading the animation is harder but, now I just use cal3d to load animations. If you get the 3ds SDK it would help you greatly otherwise like that previous user stated you can either directly load the .3ds mesh or convert it to milkshape or some other format then load it if thats easier. Hope this helps.