Hi, Dipesh!
You can export your Rhino model to .3ds directly by saving it and changing the format in the save as window. This option will turn your nurbs into a mesh that you'll be able to open in 3DMax.
In my opinion, as Scott told you, Rhino won't save it in a nice-quality mesh by itself, so I would recommend you to perform a "NurbsToMesh" and rebuild it to maximize the shapes of your new mesh to keep a nice quantity of details.
-Cesar