Talbot:1. How are 3d assets that are made in 3ds max imported into XNA?
Exported to .FBX or .X and loaded through the Content Pipeline. Or you can write your own import/export scripts if you're really brave.
Talbot:2. How do I make and add materials to put on the imported geometry?
Put the materials on them in your art program and cross your fingers they make it through to your game. I've had some problems exporting from Blender into XNA, but eventually got most of them working (search around for some threads on this topic).
Talbot:3. Is there a way for artists to visually edit the game without code? Sort of like a map editor?
Nope. Unless you write it yourself.
Talbot:4. How is lighting done?
Shaders are used to draw the models. There's no limit to the kinds of cool effects you can do with shaders. If you want shadows then you'll have to do that yourself also as there is no built in support, but there are a bunch of helpful tutorials and samples to get it working.
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