Confusing shit if you ask me. It can take some time to compile if you're doing it a first time, unless you catch on easily. So you have your .max files. You'll have to get a .smd exporter fro somewhere, I suggest using google to find that. Once you've installed the .smd exporter ( you may have to restart max) you'll have to open up your animation files which are probably finished.
You'll have to export the animations as .smd's specifically. Reload, fire, draw etc. Something like that.
Once you have all of them. You'll have to create a .qc file. You'll have to time the sounds, align the muzzle flash and shell ejection. Too much to explain here.
Then you need to tell it where to find the textures and all. The hard stuff of compiling is all the .qc text. Confusing stuff. Once you told it where to find the textures (e.g: materials/models/weapons/newweapon.) You'll also need to tell it which .vmt file to use. Once thats all done. You'll need to get GUI Studio MDL or another mdl compiler. There's another one, it's just that I don't know what its called :/
Then you open up the .qc file in GUI Studio MDL, if youve done everything right, it'll compile without any errors. And, if there is an error, its probably something to do with your qc. Qc files are a mindfuck btw. Once compiled, you'll have to organise the folders which your qc directs too. And all the vmt.
This in no way is the proper way to compile, its a quickie. You'll want to look at some tuts too.