Is there any way to get them to give you your files in a different format? The poly layout and density that Inventor will create is really less than fun to deal with in Max, even if you have all your parts set up correctly. You'll probably have smoothing errors out the a**, too.
But, to answer your question, you want to derive the assembly into a single .IPT fiel before bringing it in to Max. Create a new .IPT in Inventor, press the DERIVE button (it's on the model tab), and select your assembly. Make sure that you've set it to import as a single composite feature: the button should be checked that looks like two yellow squares merged into a single shape.
I came up in Lightwave, and switched over to using Inventor a few years back. I still do some LW renders now and then, using Inventor parts, so I feel your pain.