Well, I'm not 100% sure for Max6 but for Max4 and 5 all you do is extract/copy the impexpmdx.mse into the [Your Max6 dir]/scripts/ directory and yer done. Cheers
Max6 has proven totally useless for me (Trial version) . I think you Ideally you want max5.1 so you can use the Art tools and some of the nifty scripts out there that also import. I really wish I was wrong but i've been getting that line over and over again.
It would rock if someone had a script that really imports/exports animations for Max6. I have not come across a single one though...