Yes, a "skinned" model is essentially a model that is controlled by a skeleton. The old-fashioned method of handling animations for a 3D model was to use absolute vertex keys to animate the 3D positions of every point of the model. Unfortunately, this meant that a whole crap-ton of information had to go into the model's animations. With a skinned model, the verticies are weighted to the bones of a skeleton. Their positions are altered dynamically at run-time relative to the positions of the bones and joints. So the only transform information that the engine needs is for the initial weighting, and the current location and rotation of the skeleton's bones.
The end result is an animation implementation that takes up a lot less file size, and is much more flexible in terms of real-time interaction. The previous standard was hard-coded animation, and would play the same way no matter what. Skeletons constrain the animations more, but also allow for much more freedom in real-time interaction. For instance, skeletons allow for ragdolls, a feature that would not have been possible with vertex-animated models.
If you want to export a skinned model from 3DSMax, you will almost certainly have to use 3DSMax's character studio features. First you have to create an animation rig to hook your model up to. Then you need to apply a modifier to your model, I believe the modifier is called "physique." 3DSMax comes with a default animation rig that you can resize and tweak to fit the proportions of your model. Edit the rig to fit your model's proportions before you apply the physique modifier. Once the modifier is applied, you will want to go into its options and edit the weighting for all of the verticies in your model. You have to make sure that every vertex is weighted to at least one bone. You will want to spend plenty of time tweaking these weighting settings so that you get good creases at the joints, the shoulder is especially problematic for animations. Once you're weighting is satsifactory, its time to actually animate your model. I'm going to assume that you already know how to do this in 3DSMax.
For exporting, you will want to export into the .fbx file format. 3DSMax should already have a .fbx exporting option. I'm pretty sure that the format was originally designed by Autodesk. FBX files support skeletal animations, and should export your model, skeleton, animations, and weighting settings properly. After that you just import it into XNA.