I've talked to the guy who did it and thinks it's because you're not converting the 3ds Max models to MD3 first. We have converted all our models into MD3 (because the engine we used before Ogre didn't support Max but did support MD3) so that worked.
I've uploaded the converter, though I have absolutely no idea if this is open-source, free or has a license attached to it. I got it this way and the person who gave it to me said it was free, that's all I know. You can download it at:
http://data.openfrag.org/BRAINLESS/ExportMD3.dle
This exporter only works with 3ds Max 3,4 and 5. It does not work with 3ds Max 6 or 7, sorry

. Just throw it in your Plugins folder and it should work.
According to the guy who gave me the exporter, it only exports what's in the middle of the scene. Therefore you need to make the model you're exporting small in scale (otherwise it doesn't fit in the area being exported).
Hope it helps...
[edit]changed a bit of text[/edit]