Oh my god... I can't believe I've just exported a particle very well!!! Now, I can create any custom particle such as smoke, muzzle effect, fire, etc!! But Before I do this, I must learn how to manipulate particle in 3ds max because I have no knowledge about it lol What you need to do is to assign a BSEffectFX or BSLightingFX material to the particle that you want to export. Then from Instancing Parameters, change Get Material From: to Icon:. Finally, Give the particle BS Particle Settings modifier. So, That's it! It's very simple to just export it xD