That's right. Using a plugin for 3DS Max 2008, you can load the skeleton and animation. Or you can use the program (Noesis), which can also export animations to various formats (including FBX, SMD, PSK-PSA). This was discussed in the thread "Guide to adding a new model, animation, and creature to the HoMMV game" (on pages 22-24).
Added 17 minutes later
Hmm, I think I'm starting to remember. I downloaded Noesis and GR2 Tool... It does everything, but the FBX file is empty - why? This was also discussed back then, but I don't remember why yet