The Tips in detail

 "There is nothing like a sharp edge in the real world."

Standard geometries designed in 3D applications tend to have perfect edges and corners. This is especially true for cubes and boxes, but you will rarely find those anywhere in the real world unless you design knifes. Adding a "bevel-modifier" or a "smooth" or a "tesselate object" might do, depending on the individual case. If nothing else works, you'll have to modify the mesh "by foot" and use (in Max) the "bevel face" or "tesselate face" functions within the edit(able) mesh stack.

Another point is that rounded geometries like tubes, cylinders, spheres etc. do not always look really smooth (in 3DSMax 2.5) due to the algorithms used to build those objects. The amount of segments has to be increased if those objects appear to have unreasonable corners or edges in you images.

Remember that increasing the segment-count pushes up the total of vertices and polys in your scene and might consequently result in longer renderingtimes. The same is true for using the mentioned "bevel face" or "tesselate face" functions and the (mesh-)smooth and tesselate modifiers.