I want to make a simple EXE file, where there is one object in the scene and the user can rotate that object by using arrow keys (or mouse). Is there any way in which I don't have to use a game engine and do it only using 3dsmax script? Cause there is a special renderer I want to use, which is V-Ray a kind of renderer which provides 3D images for 3D glasses. I am not good at making games and engines so I want to know if I can do it only with 3dsmax scripts?
There is no way to do this. MaxScript is only an exposure of internal Max functionalities. If there is a something you cannot do with Max or with its sdk, you can't do it.
Also Maxscript is not compiled so you can't generate exe's. The SDK does but does not do what you want :(
You might want to have a look at Blender (www.blender.org), which has a complete game engine included. You should be able to produce something very close to what you want.
Also, V-Ray is a raytracer, no? I don't think it's suitable for a real-time application like you have in mind.
Last alternative could be QuicktimeVR, though I don't know if that works with 3D glasses.