A .dwg file is an AutoCAD drawing file, which can be two- or three-dimensional. A .3ds file is a 3D model file used by AutoDesk 3D Studio. A .dwg file can either be exported as .3ds from AutoCAD or imported by 3DSMax.
Download and install the 3DSOUT Command Utility (see Resources section).
Open the .dwg file you wish to convert in AutoCAD.
Use the 3DSOUT command to export the .dwg file to .3ds.
Open 3DSMax and create a new model.
Select the "Import" option from the "File" menu.
Select the .dwg file type from the drop down menu and browse to the .dwg file you wish to import. You can also set options for the conversion process. Finally, click "OK" to complete the conversion.
One option may be better than the other depending on which version of AutoCAD or 3DSMax you have.