Yup +1 for mudbox. Lovely easy to use app. You know there is a tutorial on Pixologic.com specifically outlining the workflow between Max and ZBrush. It think its the one about modeling a low poly club edit Its the Getting Started with Zbrush Tutorial http://www.pixologic.com/zclassroom/homeroom/ in the index check normal…
According to their tutorials, you have to off set your UVs. http://www.pixologic.com/zclassroom/homeroom/ -Click Getting started with Zbrush. -Scroll down and click Nomal Maps for 3ds max.