Make sure when you render in 3D Max that you use Microsoft Video 1 as your compression type. If you render as MJPEG you will find that Premiere Pro does not play the AVI file.
Also the size of your render should be 800x600. You can choose a larger size, but beware it will take longer to render.
I thought it would be a good idea for you to experience some of the best animation produced this year. What could be better than the 2010 Oscar Short Animated film nominations!