It is a fairly easy format (human readability), and really convenient for skinned meshes. It has few importers. You have 2 options :
1) You can use this blender script
After importing to Blender, you can export it as FBX. Note that blender applies a -90 degrees rotation on X axis to the root bone. It is not really a problem though. You can just set it to 0, after you import it into 3ds Max.
2) You can use IqeBrowser and Noesis
Open the iqe file with the IqeBrowser. Click the "Save" button on the lower left, and it will save it as iqm. Noesis can open iqm files, and after that you can export to lots of other formats.
Also I noticed that I messed up the non-skinned meshes while working on the skeleton, so make sure to download the tool again from the link in the first post.