The FBX converter laforced mentioned above reports the file as being corrupt so nothing appears for conversion. If you have the option to export to a different version of FBX from MudBox try that ("FBX 2011" for example).
Just for others which might stumble over the same issue; Bastien Montagne (mont29) has written that FBX 2014 or 2015 are supported by Blender. the example FBX file exported from Mudbox(FBX2016) is not currently supported by Blender.
could be some change in the profile used for FBX export. in my older version of mudbox it does not give me access to that but in blender you do have some options to play with on import, have you read up on what 'import user properties' or 'enums as strings' do, for example?