Does anyone know of a simple way of using a 3DMax file as a level in D3D , Will we have to deal with the Z-Buffering /Clipping . Etc . I know the DX 8.0 Has an export Module could we use this ?

One way is to save your 3DS Max file as 3dstudio or other format for each you can easily find importers for c++.
Other method involves writing a Max exporter yourself (using either the Max SDK/Visual C++ or, more simple, MaxScript - coding directly in Max).

Chaoswizard