To install this program you need to run the msi script directly using wine msiexec /i /path/to/msi_file.
On the physical disk version, this file is located at /main/32bit/3dsMax2009_32bit.msi (replace any instance of 32 with 64 for the 64 bit version.)
(This will also install backburner although it has it's own msi as well.)
As per above the installation will fail if the mentalray service is installed so you must uncheck it during the installation.
(It should also be noted that this method seems to be a tad slow so if it seems to hang up, you may want to give it a few minutes.)