Note: A more complex but usually preferred method to construct Bump Maps is with "Normal Mapping" (not to be confused with "Normal Map", which is just another word for "Bump Map", and by "Bump Map" I mean a special RGB map as outlined in this tutorial, not a "Height Map". Hope you followed that!), where you construct the Bump Map from high resolution geometry. You can read a tutorial on this at http://www.ionization.net/tutsnorm1.htm . Regardless, you must read this tutorial so you are familiar with the format we require bump maps to be in. Also see the "Normal Mapping" downloads at the bottom of this page.
Note: You will need the Normal Map Plugin-in from http://developer.nvidia.com/object/nv_texture_tools.html . Place it in Photoshop/plug-ins/filters. I also recommend downloading the DDS plugin-in, which goes in Photoshop/plug-ins/file formats.
Note: The usage of your bump map depends on the shader it is used in. Make sure not to mix up bump maps intended for parallax with bump maps intended for specular mapping!
Note: I strongly recommend testing your texture, as it can take a lot of tweaking to get things looking their best. Please please please read MaxShaderPlugin or MakingYourFirstLevel and give it a try in 3dsmax6's realtime viewport or RealityBuilder! It should only take an extra 5 minutes, and it will ensure your brand new map actually looks as good in reality as it does in your preview.