How to..

milkshape 3d has a plugin to export to c/c++ code.

milkshape.com

Look in the plugins section. If i remember correctly you need "C/C++ Header exporter for OpenGL/DirectX programs by Bob Nemeth".

although I don''t know if supports animated objects.

I would highly suggest MilkShape 3D as well, because of the ease-of-use of the software, low-poly modelling, low price tag, etc.
But if you really want 3D Studio Max files here is some help:
http://www.gametutorials.com/Tutorials/opengl/OpenGL_Pg4.htm


TommyB

hmmm, not sure if you want to loads a .3ds or convert a model into c++ code.

if its the former, search for lib3ds on sourcefore.net