Although both .dlm and .mse files are/were used by 3ds Max/3D Studio MAX it does not seems to be to possible to convert or somehow transform one to another. If you are looking for something specific, please let us know in the discussion below.
Convert 3D Studio MAX file to 3D Studio Max encrypted MAXScript file.
We found one software available in the database for this conversion.
Microsoft Windows software - convert dlm to mse on Windows
A widely-used 3D animation application from Autodesk
Convert from dlm file format
The table with program actions contains information about what each program is capable of doing with their files. This may be a good pointer for further searches for certain file conversions and help you find the converter you are looking for if our search result is insufficient for you. However, it is far from perfect and may sometimes show results which are not really usable because of the nature of the software handles the files. So a conversion that appears as possible, just because of matched actions, may in fact not be possible.