You can drag a MAX file from the desktop or Windows Explorer and drop it on a viewport in the 3ds Max window.
When you drop the file, a pop-up menu gives you a few choices:
- Open File
- Opens the MAX scene.
This replaces the previously open scene, if there was one.
- Merge File
- Merges the objects in the MAX file.
- XRef File
- XRefs the objects in the MAX file.
If you choose the Merge or the XRef option, you can then drag the geometry and click to set its initial position. The Merge File dialog or the XRef Scenes dialog does not appear. All geometry in the MAX file is either merged or XRef'd.
A Drag And Drop option on the Preferences dialog 
Files panel controls how layers are managed when you Merge or XRef by dragging and dropping.
There is no Undo for dropping MAX file geometry.