My displacement map is created, now I can export my model from Zbrush (div 1 or 2) as a OBJ.
I import all my objects in 3dsmax, I convert them to poly objects, I add a TURBOSMOOTH (with 1 or 2 iterations depending on the objects) and I apply a DISPLACE (sometimes I use the displacement map also in the material as BUMP). I turn the 2 modifier off in viewport (right click) to keep my scene light in 3dsmax.
There are tons of good texturing/shading tutorials so I will not cover this part. (For this one I used a lot of camera mapping/render to texture) It's a big piece so I will try to make another tutorial on that next time.
I have all my models in 3dsmax textured and with displacement modifier, I can start the lighting.