MAX 4.0, Pixel and Vertex Shaders...

Okay, I've read lots of places that you can use 3ds max 4.0 to make your own cuztom vertex and pixel shaders for D3D8 in a game. As far as i know, the only way to do special effects in max is to use the video post, where effects are done at render time and cannot be put into D3D. This is because conv3ds only supports .max files, which, in my experience, wont even hold keyframe information... very stupid. How do I use max to make custom shaders to get things like bump maps and making things glow.... and other special effects?