Hi,
You would be able to use a psd file directly in the material slot in max, while you work on the same file in photoshop whatever change you do and save it is updated in max as well, keep in mind psd files can be quite big and use lot of memory. If you want can also record an action to save the file in jpg with one click and assign a function like F2 for instance. Max will update the vieport right away.
Cheers!