Couple questions about modelling

[Your Computer]

Assuming you mean triangles for "mesh," you may model your object using faces with more than 3 sides, but converting polygons (quads) to triangles is required when exporting to COLLADA format. I believe 3DS Max supports the COLLADA format, so 3DS Max should be suitable for modeling for Amnesia. UV mapping will work so long as the program can translate its coordinates to the proper COLLADA format (note that other kinds of texture methods may not work). Getting things just right, however, is a trial and error process; if you want a more precise answer, then define "work normally."

If you want to get a quick understanding of the process, i would suggest making a simple cube, texture it, export it to COLLADA format, and then import it into the model editor of Amnesia and see if everything came out right.