The free version of Max 4.2 is Gmax, .NET support is built into W7, DirectX 9.0c June 2010 is available from Microsoft and Managed DirectX is in the CFS3 downloads here at SOH, as is the CFS3 sdk.
Start with something simple like a hangar or bridge, get it built and mapped with texture applied and you'll quickly gain an understanding of the processes involved. The really tedious and mind-bending bit is learning how to use Gmax but there's no getting around this, you have to wade through it to get there and there's no other route to a CFS3 model.
Did I say it's lots of fun? It is!