Hello,
My knowledge of textures is quite basic, so ...

Well, it seems that Quest3D
can manage 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 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