3d model physics problem

Hello, I create a 3d model in 3d studio max and import it in unity 3d pro and when i try to give it mesh collider or rigidbody or other physics it says Losing prefab when i click add the physics works but it don't stop with other objects .

That's OK. Unity is just warning you that you are changing the initial state of the object. You can just create a new empty prefab and drag the game object onto it in the project view to create a new prefab that will include whatever changes you have made.

Creating Prefabs