While in Transform Edit mode you have 10 brushes available to you in the Transform palette (Standard, Layer, Pinch etc.). If you want to utilise the 2D, 2.5D or other 3D tools to color and/or deform your model you will need to use the Projection Master zplugin which is installed by default.
You activate Projection Master once to “drop” your model, then use any tool(s) to color and/or deform your model while it is in that “dropped” state. When done you activate Projection Master again to transfer the changes to your model. The Projection Master documentation and zscript tutorials in the Help menu should help you understand the concept better.
To export your model you would either go to the subdivision level you want, change any Tool > Export settings you need and export. All depending on the subdivision level it can result in a model with too many polygons for 3DSMax to handle. That is where you will want to learn about generating displacement maps in ZBrush, exporting the low subdivision level model and applying the displacement map to that model in 3DSMax.
There are many tutorials on displacement maps on this forum, look around, also check the Practical Guide which explains the inner workings of ZBrush and contains many tutorials for various programs.
You will also find the Displacement Map Exporter useful.
Hope that helps