No, not a meshsmooth modifier, a smooth modifier. Then just click the "1" button in that panel of numbers in the Smooth modifier rollout. If you look at the silhouette of your object in mudbox and in max, you'll see it's exactly the same - also if you right-click in the viewport in Mudbox you can change the rendering style…
Either go to editable poly, select all polys and assign to 1 smoothing group, or do autosmooth. Or alternatively apply a smooth modifier and do the same.
If i put a "Meshsmooth" modifier over it it looks ok. Do you always have to re-smooth what is imported ? because image the slowness of your computer if everything is re-smoothed over and over again.