With Blender, it was not really that hard (all though Bob had to show me how to do it, hehehehe, proving that I'm thick headed). However, if you look through my tutorial for it here, you'll find there are issues with doing it this way with Max and Cyan's plugin.
First, Cyan's plugin does not like it when you try to attach a dynamic env map to a non-waveset object. And considering they have it under New>Water>Enviorment Map
I can understand why. Not to mention when you look up there prp's in PrpShop, you'll see that they have fixed EnvMaps for their stuff.
This isn't too much of a problem as you can do it that way in Blender too, and even have Blender make the map for you.
My problem is trying to get Max to make a map for me


Still working on it. Any other info I find out I'll post here about it.