The way to do this is by using the XRef preset in the materials editor.
After clicking on a new slot in the materials editor, you'll notice a button labelled "standard", click on this and select XRef from the list shown. From there you'll see a screen with two folder directories that are currently empty. Select the first button labelled "...". Select the 3DS max scene that the material you want to use is in. You'll then be asked to select an object from the scene. Select the object that this material has been applied to and this material will appear in your scene. You can now apply this to the object in your current scene.