That code applies all the settings you need, including the RGB settings. What version of max are you using? Max should be able to use the maps made using that quick code…i haven’t had any problems with max 8, sp1, or sp2. Don’t worry about photoshop, you can bypass it altogether.
Otherwise you may be able to download the photoshop plugin found at http://www.openexr.com and follow the tutorial I posted on page three of this thread.