Although I don’t have experience with 3dsmax, I can tell you that you need to render the Z Depth information from your 3D package into the RPF files.
Then in AE you can try using the 3D Channel > Depth of Field effect. However, I would recommend duplicating your image sequence and using the 3D Channel > 3D Channel Extract effect to extract the Z Depth and use this to drive a Lens Blur effect. This would ultimately give you more control over the look.
The most important part, however, is that you render your image sequence with a Z Depth channel.
I’m sorry if this is redundant information for you. If you could upload pictures of the problem, or be more specific about what part of the process you’re having trouble with, then someone might be able to give more specific help.
Darby Edelen
Designer
Left Coast Digital
Santa Cruz, CA