You need to make sure your model in Max is is complete firts...all geometry is correct, smoothing groups applied, UV's set for both diffuse AND lightmap (if light will be baked...not needed for Skeletal), Standard material applied, texture map used is power of 2. Only then are you ready to bring it into UDK.
On import, I think you only get a material with the diffuse texture. We have custom "uber shaders" that we use, so we don't usually care about the textures coming in with the mesh. Anyway, you'll need to tweak your new material shader for a better look.