I'm wondering why Pick is on in each of your screenshots. Pick is used to select a material already in use directly from the model. To apply a material to an object in gmax, get the material set up in the Material Editor and with the correct object already selected, click Apply. Then you can get the mapping sorted out.
I also think you're being a little unfair to gmax. Modelling in one package, exporting to another and exporting from that to gmax? I'd be happy to get usable mesh from such a process. You should try getting a textured, animated gmax model into anything else - including its big brother 3ds Max! Also, whether we like it or not, gmax is the only remaining route for exporting models to CFS3/OFF, unless you know where to buy 3ds Max 4.2.
However, you're getting there! For an intro to UVW mapping in gmax, try Uncle Milton's C162 tutorial - you want the last part (part 22)