Hello,
My knowledge of textures is quite basic, so ...
Well, it seems that Quest3D
can manage (http://www.quest3d.nl/wiki/index.php?title=Faq) various types indeed, and as there are some well known freeware that can make the conversion, like Irfanview, there shouldn't be any problem?
A plugin for 3dsmax8 seems to be "Dds converter 2" and would be working with XP (not Vista).
There is an
interesting FAQ (http://www.shatters.net/forum/viewtopic.php?f=5&t=7034&start=0) with some comments about why dds is more interesting than other formats.
Regards,
Luc
PS: Autodesk support for 3ds max could also help, if SP3 is already included?
And
Nvidia tools (http://developer.nvidia.com/object/nv_texture_tools.html)