I'm getting lots of emails lately about this problem so I will try to explain more detailed.
1.You need to fix object for exporting.
1-Paint your model with Multi/Sub-Object.(Go to your material browser "M",(I use compact mode, to change mode just click on top left corner of window 'Modes'), chose your desired slot and paint object with it (just drag material from material editor on the object). Then press 'Standard' button in right, middle and choose Multi/Sub-Object)
2-Now make Multi/Sub-Object materials number equal to parts you want to paint.(Example: I have lights and they need 5 materials 'glass,chrome,blurry chrome,plastic,lights glow' so I make materials number to 5). Number is located in left of 'Set Number'.
3-Make sure you have editable poly, not mesh, spline, just poly works I think. In editable poly selection tab select polygon "red rectangle" or Element "red box". Go to Polygon: Material IDs tab. Now select parts of one material and change id of it.(Example: We have the same lights and they have 5 materials. So I select glass and make his ID to 1, that means on Multi/Sub-Object material 1 material is glass, I select chrome parts and change them to ID 2 and on Multi/Sub-Object material 2 material is chrome....) NOTE: All model, scene needs to be in the same Multi/Sub-Object material.
2.Exporting part
1-Press max button located on top left corner and go to export. In the window select save as type to *.OBJ. In new window present needs to be <NONE>. Change faces to triangles for better result.
And that is all, I hope it helps.
