The actual Biped you see in 3DS max is just a visual representation of the animation (the biped disappears when it's exported). You need to create a 3D model, or get one from something like turbosquid, then skin the biped to the model. Then when you export it, you'll be left with your animated 3D model.
There's loads of tutorials on it, this is a good one which shows the whole process
http://www.youtube.com/watch?v=fpU1yqsT8_A&feature=related
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