When you add, for example, a bitmapped material to your scene, by default the path is saved as an absolute path on your local system.
Before you share your scene file with colleagues or clients who will use it on a different system, you should make the paths relative, as described in the following steps. These presume that you have an active Project Folder and that the bitmaps and other resources are saved within the project.
Now you can share the MAX file. As long as the recipients use a Project Folder with the same name and structure, they should be able to open the MAX file without seeing the Missing External Files dialog.