Okay, figured out Texture Animations.
It's not too much different from how we were doing it in Blender actually.
Once you get your material assigned to your object, and your texture UV mapped correctly, go down to where you set your keys for Object Animations and click on the button that says Key Filters. In the box that pops up, uncheck all but Materials.
Then, with your object selected, call up your Material Editor. Select the material you assigned the object. Click on the plasma layer you want to animate.
Scroll the box down until you get to the Coordinates box. Look at where it says Offset for "U" and "V" (in Blender we had "X", "Y" and "Z"). "U" is like the X coordinate in Blender, and "V" is like the Y coordinate in Blender.
Now go down and click on "Set Key", and then click on the Key box to set your first Key for the material, with the offs set to 0.0. Then move your animation timeline to where you want to set your next key. Then adjust either one of your U or V Offs to where you want them, and then click on the key button again.
The really cool thing about Max is you can move your Time Line bar back and forth and SEE the texture animate while still in Max! I'll give Max an A+ for that one!
I'll write up a tutorial for this, this afternoon, right now I have to go extract the boys from school.