I'm new using unity. I have a problem trying to import a file.max

Good evening, I’m new using unity. I have a problem trying to import a file.max taken from
http://www.3dxtras.com/3dxtras-free-3d-models-details.asp?prodid=9851
and I can not see it on the stage of Unity. I do not know if I’m importing wrong, or if the file is corrupted. You can help me?
this is what appears in Unity when I import the file .max

what does this mean?

Why are you importing .max file. use .fbx format

max files only open in Unity if you have 3dsmax installed.

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