It's been a while, Calamity isn't going to be to the baking stage for quite a while yet, but it's coming back to me.
I believe the problem you're having is caused by the UVW map Max is baking to. You need to tell Max how you want the baking output mapped, and it's not the same way you want your textures mapped. Lets see...
I'm using Max 8 right now, here's a little tutorial of steps I just went through to remind myself how to do it. If you just read through it, it might shed some light on the process and what you might be missing.
NOTE: When you want to try this on an object you want to save, MAKE A COPY OF IT. In fact, make a copy of the whole scene, this process will change things in not-easy-to-undo ways.
1: Create a new, empty scene.
2: Create a box in the scene.
3: Right click on the box and select Convert To:Editable Mesh
4: Go to the Modify tab and select from the Modifier List "UVW Mapping"
5: In the mapping parameters select Box
6: Bring up the Material Editor and assign a texture to your box, it should be something distinct, not just a uniform color.
7: Back in the Modifier List select Unwrap UVW
8: In the parameters panel change the Channel:Map Channel to 3, it will put up a warning dialog, click Yes.
9: In the parameters panel click on Edit, a dialog will pop up called Edit UVWs
10: Now if, like me, you're using 8 (and I think 9 but I'm not sure) you want to look for a panel at the very bottom of this dialog with a section labeled Selection Modes and click on the button with the pop up tool-tip "Face Sub-object Mode". This will enable most of the menu items.
11: Select the menu item Mapping:Flatten Mapping. If Flatten Mapping is grayed out see #10 above.
12: You can play with these settings (and other mapping types from the menu) later, right now you might want to reduce the spacing, then hit OK.
13: You should now see 6 rectangles in the Edit UVW's dialog which represent the 6 major polygons making up you're box. (If you select one of them it will show you the two triangles making up the rectangle). You can close this dialog now.
NOTE: What we now have is two UVW maps, one Max will use to read the textures from, and one it will use to write the burned texture it creates out to.
14: Hit the number 0 to bring up the Render to Texture dialog.
15: Find the Use Automatic Unrwap option and make sure it is NOT selected (Maxes auto unrwap is terrible) this option is in different places depending on the version of Max. In 8 it's in a box labeled Mapping Coordinates. You want to select Use Existing Channel and make sure the Channel selected is 3, the UVW map we just created.
16: Now go down to the Output section and click Add. Select Complete Map from the resulting popup dialog and hit Add Elements.
17: You might want to adjust the Automatic Map Size (defaults to 256 which is pretty small) as well as the file name and type. Set the Target Map Slot to Diffuse Color.
18: Under the Baked Material section you probably want to check the Render to Files Only checkbox so it won't turn all of your materials into shells with the new baked texture attached.
19: At the very bottom of the dialog box I like to set Views to Original
20: Hit render, you should see all of the triangles making your box rendered with lighting and texture effects! Save the rendered texture.
But you're not entirely out of the woods yet. In order for this rendered texture to show in NL (or anything else) you're going to have to take the UVW map in channel 3 and move it to channel 1, and then apply your new burned texture to the object.
A simple way to move the UVW is to save it from the Edit UVW Map dialog box, change the channel in the options panel, then load the map back in.
Be sure you're not looking in a mirror before you start pointing fingers.