Ok, I used search and couldn't find anything so I'm going to answer this for you.
(Otherwise I'd suggested to use the search function.
You need to export the textures (tga files) from the pk4 files. If you open up the monsters.mtr file you can find the 'shader' definition for that monster.
It will look like this:
You can see that this 'shader' or 'material' definition references files in a relative path (relative to the game directory, e.g. c:\games\doom3\models\etc..).
Find the referenced tga files from the PK4 file that has the models directory (I believe it's pak002.pk4, not sure) and extract them somewhere.
Now make a new material in 3dsmax and use the textures you just extracted for the specular, diffuse and (local)bumpmap. (see 3dsMax help file on how to texture things).
That should work like a charm.