Make sure you have you Game pack installed properly too.
Have a look in this SDK folder and then browse to the following folder: "Environment Kit\Modeling SDK". You'll see the folder FSX_GmaxGamePack.
Copy the folder FSX_GmaxGamePack to the folder <gmax installation folder>\gamepacks
Copy the GMax shortcut from <gmax installation folder>\gamepacks\FSX_GmaxGamePack to your desktop.
Start GMax only from this new shortcut. Try it.
Check if you see the "FS Tools" menu like the following screenshot:http://www.fsdeveloper.com/wiki/index.p ... x_gamepack