How to import the model that all is not Combined and I could apply materials to different parts and to position the parts are preserved

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I haven’t used Max in a while, but it should be much the same as in Maya.

This video explains how to select areas to assign a material to.
3Ds Max How To Apply Material To Face

Don’t worry about what the material is - just make sure there is a distinct material for each material you will have in UE4.
Once you import it you can change the materials as you like.