Well, read the HEK tutorial. Also download the CHIMP Maxscript for Gmax, which allows you to export your maps with Gmax into Halo Compilable .jms files.
Bah, Chimp doesn't allow model exporting for some reason. To create models, just make them, and send it to someone in .obj format with the .obj GMAX Maxscript Exporter, OR just download the 3ds Max 7 trial...
To make models, just create a folder called "test" in your data directory, and in that folder create the two folders called "models" and "physics."
Now, export your model as a .jms in those two folders, and run tool.
Type in:
tool models test
enter
tool collision-geometry test
enter