Did you even read the tutorial linked in this post?
Install the script (DeX.mcr or whatever it is) in the directory tree:
gmax -> Scripts
From gmax's Utilities gadget (the Hammer on the far right, about midway down the screen) click the Hammer. Look at the buttons, find Max Scripts (this is also in the main toolbar, but I am leading you the right direction). Select RUN, a requestor box opens, find the script. Select the Open button. Now, go back to those buttons on the right where you found Run Max Scripts like I told you. See the window below the word Utilities (which is below Run)? There is a drop down selector gadget, use it. Find the script name, select it. Now, move your cursor slightly to the right until it becomes a HAND. Left-click and hold, move hand up til you see the MDX Export options.
This is all visible if you go to Magos' link. | 
