The Material Editor includes support for DirectX 9 shaders using the DirectX 9 Shader material. These shaders are saved as .fx files and are available only if the Direct3D display driver is enabled. FX files are text files created using the Higher-Level Shader Language (HLSL).
In the 3dsmax9/maps/fx directory where Max is installed are several example DirectX 9 shaders. You can load these example shaders using the button in the DirectX 9 Shader rollout. The available parameters are different for each shader.