Very possible.
I assume you are talking about .max files right?
Do you have 3D max?
If not then i guess not because even if you have a convertor like Deep exploration which can convert a .max to a .skp in one action it still requires 3D max to initialize in the background to adhere to licensing.
If indeed you do have 3D max then open the model in Max and save it as a .3ds and import into SU.