To actually model stuff, check out the useful tutorial videos: http://area.autodesk.com/channels/3dsmaxhowtos
However, once your model is made in 3D Studio Max, how do you get it into game?
First, in 3DSMax, open the menu at the top left (the icon with the 'drop down' arrow).
Select 'Export'.
In the file dialog, navigate to your game's assets directory, then into 'Models'.
In the 'Save as type:' drop-down box, select 'gw::OBJ-Exporter (*.OBJ)'
Click 'Save'.
A dialog box will pop up with a whole load of options. Ignore them.
Click 'Export'
The export is now done.
Make sure any textures you have used are copied into the same directory as the model (i.e. the 'Models' directory, NOT the 'Textures' directory).
Now call up the jMonkey IDE. Your .OBJ, .mtl and texture should be in the Projects tab under the Project Assets/Models directory.
Right click on the .obj file and select 'convert to j3o binary' (this will make it load a lot quicker).
Now you can load the j3o file in your game!
Example code (create a new BasicGame project and replace the code in simpleInitApp() with the following:
AmbientLight ambLight = new AmbientLight();
ambLight.setColor(ColorRGBA.Gray);
DirectionalLight dirLight = new DirectionalLight();
dirLight.setColor(ColorRGBA.White);
dirLight.setDirection(new Vector3f( 1, 1, 0 ).normalizeLocal());
rootNode.addLight(dirLight);
rootNode.addLight(ambLight);
//Spatial block = assetManager.loadModel( "Models/TestBlock.obj");
Spatial block = assetManager.loadModel( "Models/TestBlock.j3o");
block.setLocalScale(0.2f, 0.2f, 0.2f );
rootNode.attachChild(block);
flyCam.setMoveSpeed(100);
Remember to replace the filename in the loadModel() call with your own model name!