But for unkown reason, I can't make it load my model
What exporter do you use ? I only know, that .OBJ exported from blender don't work, but .OBJ exported by Art of Illusion work.
Does one of the 3DS loader handle materials from 3DSMax?
I don't know, but 3dsmax has a totally differnt system of Materials, so it's not easy to convert them. But if I'm not mistaken, I've once seen an image of an imported 3ds-file with textures. So I think it should work. But you can't have all those fancy stuff 3dsmax supports.