best way is to go to "send" in the o2 menu
and send the p3d as an .asc file.(you gotta type in the .asc at the end as well.
then use another program,to convert the .asc into .3ds...
milkshape can do it,theres others out there too,
i use a lovely free model editor,and level designer from 3d game studio.
max 5 might be able to read and load .asc,but max 3.1 doesnt,
cause i got max3.
but i had same problem saving to 3ds,
sending as .asc and converting outside o2 works for me.