1: Install Doom in C:\Doom3\
It doesn't actually have to be there, but it has to be somewhere without any spaces.

2: Make a box
Save it as C:\Doom3\base\models\testbox\testbox.max

3: Make diffuse, normal, and specular textures
Or download them from here
NOTE: This file is missing, if you have it please get in touch!

Save them as:
C:\Doom3\base\models\testbox\testbox.tga
C:\Doom3\base\models\testbox\testbox_local.tga
C:\Doom3\base\models\testbox\testbox_s.tga

4: Create a new material in 3dsmax
Specify those textures as the diffuse, normal, and specular maps.
Apply that material to the box.

5: Export the ASE
Click File->Export
Select ASE
Save it as C:\Doom3\base\models\testbox\testbox.ase
Be sure these options are checked:
TODO...

6: Create the material
Open notepad, type the following:

models\testbox\testbox
{
    diffusemap  models\testbox\testbox.tga
    bumpmap     models\testbox\testbox_local.tga
    specularmap models\testbox\testbox_s.tga
}

7: Test it in Doom3
Launch Doom3
Drop the console (Ctrl+Alt+~)
Type: map testmaps/test_box
Type: testmodel models/testbox/testbox.ase

If everything worked right, you should see your box right in front of you all lit properly with bumps and specular highlights and such. If not, check the console for red or yellow text, it should explain why it didn't load.

If you want to import this object into a map, right-click the 2d grid in DOOMEdit, select "New Model..." and select the model. Sometimes it doesn't show up right when you do that, the fix is to his space bar to copy it, then delete the original.