Chapter 2 - The modeling - some basics
I know there are dozens of ways to model and there's no right and no wrong way. There's only YOUR way. When you start with your 3D-Software, don't listen TOO much to people who tell you "this is the perfect way to model!". (by the way: Sometimes those people have never published an image themselves.. keep an eye on that)
Try everything and then decide which way you want to go.
In 3DMax, the most popular modeling-technique is probably box-modeling. That means, you start from a box, (sub)divide it, extrude, move and tweak vertexes, polys, edges and so on until you get the shape you wanted. You can compare this technique
to someone who models with clay.
There are at least 10 other ways to model, I'm mainly using two of them. Box-modeling and the "poly-by-poly"-Method.
While I use Box-modeling for mechanical objects like robots, cars and stuff like that, I use the poly-by-poly-method for organic models, for faces etc.

Fig. 1

Fig 2 & 3

Fig. 4
Ok, so you've seen my robot naked.
Question two: How did you make those inlays and "detached" parts of his armor?
SEE PIC 5 for explanation
They are not detached. They're modeled into the armor. I'll explain how I did those parts on a simple model:
Step 1: Create your basic shape (here a simple box)
Step 2. select some polys (here: red): PIC6
Step 3: Extrude them inwards by 1, then extrude them outwards again by 1.
Step 4: Smooth your model ;o) Voil·! PIC7
And that's it! Be creative! Chamfer, bevel, extrude! Add different materials to your selection.
Of course, some of those parts of my model are a bit more complicated, but they were all modelled in the same way. Extrude inwards, extrude outwards. Some of them were not extruded, some have been beveled. I also chamfer a lot of edges to add definition to my shapes.
Question three: How did you create all those cables?
Well that's easy to answer. The cables are all renderable splines. In Max you can create a spline and then tick those 3 beautiful boxes as seen in PIC8 (below):
Choose renderable, display render-mesh and generate mapping-coordinates. Now add any texture you want and you got a beautiful cable! Easy, isn't it? The best thing is: They can easily be animated afterwards as well.