As far as I'm aware, and anybody feel free to correct me if I am wrong, but I dont think you can import CGF,CGA, CHR etc files straight into max. Technically, they arent even exported directly from 3DMax, as the export scripts run a command-line tool called "rc.exe" - the crysis resource compiler, which takes the raw data that the max scripts feed it and translates it into the CGF, CGA, CHR etc formats as appropriate via the max exporter settings.
I guess it would also be possible to kinda reverse engineer the cgf format, and create an importer to get it into max, perhaps some bright spark community member at crymod has already created an importer ? I dont think the result would be much better than the OBJ exports from sandbox though.
edit :
sorry missed this -
cryimporter_1.2.exe ( Takaro CryImporter script for 3ds max 6 and above)
does this not import the file for you ? or does it not install itself correctly ? What is the folder structure that executable installs ?
Usually you will copy files with a .ms extension to a \scripts folder inside the 3dmax folder, file with a .dl* extension or other usually go into either the \plugins folder or the \3dmax folder. Sometimes there will be a startup script that needs to go into 3dmax\scripts\startup and sometimes there will be an .ini or other configuration file that you may need to edit to fill in paths and folder names and other settings.