You can't...
I've discussed a bit about the horse skeleton with Neil Jedrzejewski (from Wunderboy.org), the maker of the most recent SMD plug-ins for Max and somekind of SMD specialist.
He had a look at the files and, apparently, BRF Edit is to be blamed for the errors.
The (new) horse's SMD file (created by BRF Edit) contains weight data for vertices attached to 'node 23' (which is a bone called '23') but you'll notice, if you manage to import it, that this bone doesn't exist in the exported SMD. It's just not there.
(And I believe that if you check the file in a text editor it refers to even more bones, athough I'm not sure about that... it's still a bit cryptic for me).
In other words, the SMD file made by BRF Edit is completely screwed up.
Now, depending on the plug-in you're using, you might be able import the file in Max (Cannonfodder's one will import it while Wonderboy's one won't because of srticter file checking rules) but the skinning will be completely wrong.
I guess some might be able to have a more or less decent result if their new geometry is pretty similar to the horses from the game but it'll never be perfect.
We just have to wait (and pray) for a new version of BRF Edit.
