add an edit poly modifier on a piece and attach all others.
click in the edit poly modifier on the face-selection mode and select all faces that shall
have a different texture than other objects in your model.
set the material id e.g. to 2 for the pillars and everything else 1
add a unwrap uv modifier
in the unwarp uv modifier
hit the “open uv editor button”
in the new window hit strg+a (or ctrl+a) to select all faces (if in face-mode)
then go to “mapping” and hit the flatten button to let 3dsmax flatten your uv map.
now you can change the size of uv mapping for every object.
if you want objects to share the same uv space just drag them on top of each other.
this is the very basic of easy uv’ing and should be good for getting into it.
later you might want to do it more professionally ;D