Are there any videos on how to make a small game using Max? I mean is it only done in Max or are there other things used? I am a newbie in game programming.
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3DS Max is a 3D modelling tool. There are several video tutorials available all over the internet (of varying quality). However, you can't make a game just using Max -- all it does is modelling and rendering. You'll need to use something else entirely, or at least something else in conjunction with Max, in order to make a game.
Blender is a similar kind of modelling tool that does have a built-in game engine that can be used. It's also much cheaper than Max (because it's free). There's lots of documentation and educational material on Blender's website and elsewhere on the internet. You may also want to consider looking at Unity. There are several other game construction tools available as well.
You could also teach yourself to program -- I'd recommend Python as a first language, if you choose to do this. This will give you a lot of control and flexibility in the games you create, but it will involve a much steeper learning curve (for example if you choose to go this route you'll likely be learning to develop very simple text-based games for some time before you are ready to tackle the complexity of 3D graphics and loading 3D models and scenes exported from Max).
3ds Max is not used for programming games. It is frequently used in game development, but the relevance of 3ds Max to game development is that you can create 3D models using it and then export them to load in a game engine.
As the other two people have said, you cannot make a game in Max. If you are a designer/artist and you wanna get into game development there are a couple of tools available online that you might like to consider picking up:
1) Construct: http://www.scirra.com/construct/
This is an open source (free) game development tool targeted specifically for 2D games. It's also targeted at people like you who aren't programmers because you don't need to learn programming to use it. The interface allows you to build a game without writing any code
2) Game Maker: http://www.yoyogames.com/gamemaker/
Basically a similar thing to Construct. It has a free version as well as a pro version. Also doesn't require programming
3) Game Salad: http://gamesalad.com/
Another similar thing, except this one is Mac only.
Now these three are great if all you want to do is mess around with game development, have some fun and all, but if you're serious in getting into some real game development, unfortunately you MUST learn programming. That's not to say you need to be amazing at it, but you do need to know it relatively well. And the tool I very very much recommend you use if you want to get into it is called Unity3d: http://www.unity3d.com
The final option is.. don't develop games. If you want to stay in 3DSMax, go ahead and become amazing at it, then you can make content for games such as 3D models, animations, textures, etc.
Hope this helps