Question, how new are you to OpenGL? I have the feeling you're getting a bit ahead of yourself; trying to take on a project that may be a bit too large for your current skill level. Sorry if I'm wrong, but that's sorta the vibe I'm getting.
If you already have your chess pieces exported from 3dsmax, what you need to do is export them to a 3d file format that's easy to read/parse. 3DS, MD2, LWO, OBJ, etc. are good formats to start off with. If you have never written a 3D mesh file loader, then you need to start there. After you've chosen your file format, you need to read in the vertex data and then you translate the meshes to their respective positions. If you know the size of your chess board, then putting the chess peices in their respective squares just requires you to translate them by multiplying the square size by the number of squares from the origin.
Back to the 3D loader part, if you cannot write your own 3D loader, then give Assimp a try: http://assimp.sourceforge.net/
If you want some sample code that specifically deals with a chess game with OpenGL, check out the SGI page here and click the chess example: http://www.sgi.com/products/software/opengl/examples/more_samples/
There's another one out there, but I can't remember where it is. I'll have to find it again because it actually plays through an entire game of chess while moving the pieces on it's own.