Here´s how I do it:
you will need the texporter plugin which can be found under
www.maxplugins.de
Your Model is ready to go (I normally turn all objects into editable meshes and delete polys that can not be seen later [the bottom for example]).
then you decide how many texture files you want to use (for my buildings I use two - one for the buildings themself and all extra stuff like crates or barrels and one for the ground).
After that you attach all objects together that will use the same texture file (select an object, right click on it and select attach, then click on all other object that will use the same texture).
You then select the object and add "modifier -> UV Coordinates -> Unwrap UVW"
then you select this modifier in the object tree and select "select face"
then push "EDIT" it will bring up the mapeditor!
this is where you can edit which part of the .dds graphic is used by which polygon/face
remember you selected "Select Face"? - this enables you to select polys in the viewports (aka mainwindow). select for example all walls of your building and then, in the map editor click on "Mapping -> Flatten Mapping"
click on OK in the popup.
Now you will see the polys flattened.
you can stitch them together if you want, experiment with it, it´s very usefull.
do this for all polys on the object and sort them all into the darkblue lines in the mapeditor. (the borders of the .dds you will produce later)
then open the texporter utility:
select the size you want for your .dds file (128X128, 256X256, 512X512, 256X512 etc.) then click on "pick object" and select your object in the viewport. In the upcoming window click on the disk and save the file as a .dds.
With this file you can work in your graphics-program.
After you are happy with your texture file, apply it to your object the way Dual said before, render your Model, have a look at it, maybe edit the "Unwrap UVW" Modifier again to flip some Faces and then you´ll hopefully have your first masterpiece.
I hope this helped you