You can import SolidWorks files (.sldprt) as 3ds Max Body Objects (.3ds). This can be done from the application Menu ► Import ► Select File To Import dialog ► Files Of Type drop-down list ► Choose SolidWorks (.sldprt).
Alternatively, some other 3D modeling / conversion programs may also support this conversion, but it's usually best to use the default software for best translation of 3D data.