Irrlicht Engine

i find many models with extension .max that when are load in 3dsmax have all the texture also that the software tell me that need various file .jpg. I haven't these files but i can create them with the file .max?

You also need the texture files with them. MAX file contain the mesh, the scene description including bones and the infos about the models, textures, animation and so on. If the program request .JPG it's mean that the author didnt gave you the image textures that he applied on his model.

If you don't have them then you could use GIMP, Paint(MS or TUX), or if you can use Adobe Photoshop.