Excellent, I use 3ds as well.
There is basically 2 ways to do this currently. Both ways require X-Axis forward and Z-Up, as in your image above, and pivots centered properly for each object.
Option #1 - Using bones, you will need to attach all parts (including wheels) to the vehicle mesh so it is a single mesh, and then use bones for each wheel + the root bone. Align each bone to the center of each wheel, and the root bone goes at 0,0,0 and the scale doesn’t matter, but best to leave at 1,1,1. Each bone MUST be zero’d out for it’s Rotation on all 3 axes, by default Max sets 0, 0, -90 for the rotation of each bone, which will not work. Now using the Link tool (top left of the toolbar up top), click + hold on the root bone and release over a wheel bone. Repeat for each wheel. Turn off link mode, and add a “Skin” modifier to the stack, add all of the bones and set each bone’s weight accordingly (each wheel need a value of 1 for the wheel mesh vertices for the corresponding wheel, and the root uses 1 for the vehicle body only). After that you can export as FBX, but make sure you enable the “Animations” checkbox.
Option #2 - A way easier way is to leave the wheels as separate objects and use the “Link” tool to attach them to the main mesh. This method does not require any bones to be created, UE4 will create them automatically.
For this you need to make sure the XYZ pivot must be exactly in the center of each wheel. This is simple to do with separate wheels, just go Hierarchy -> Pivot Only -> Center to object -> turn off pivot only.
Make sure each wheel and the body are facing forward X, as in the image you provided above, and center the vehicle body on the Y axis. Simplest way to do this is select all objects and type 0 into the Y axis box.
Now use “Link” tool (top left of the toolbar), click and hold on the vehicle body, and then release with the cursor over top of a wheel. Repeat for each wheel, then turn off link mode.
Finally export out as FBX, and make sure you have the “Animations” checkbox enabled, and you are done.
That is a lot of info to take in, so let me know which method you want to use and I can go over a bit more in depth if required.