Can anyone get this working in Max?

GLSL bumpmapping and parallax mapping:
http://www.dhpoware.com/index.html

Do you mean like this?
http://klepto2.kl.funpic.de/DL/parallaxshader2.rar

It is done by my version of MiniB3D.
Source and Shader source is included.

I don't see any shader in that demo, it just gets lighter when I click the mouse.

Try pressing space to rotate the wall and you will see the effect ;)
Or take a look at this: http://klepto2.kl.funpic.de/DL/shaderspecularfallback.rar

Left Mousclick will deactivate the Shader in both apps.

Wow, cool.