Hi Tolis,
to sum up you can either use Booloean (the easy one), 2d rectangular extruded shapes (the cleaner one), shapemerge, or in the new version of 3ds max there is also ProBoolean, which is better (there is a long dispute on this on another thread) than the classic Boolean.
Generally cutting holes with boolean operations can get tricky, depending on the topology of your object, so whenever you do make one, check your whole model to see if anything has gone wrong with your polygons.
Paris