1) import the .yobj file in 3ds max
2) make sure you select everything
3) export into a obj file ex. wrestler.obj
4) open zbrush and on the menubar select "tool"
5) click import and select the obj you created from 3ds max
6) after you finish your project just click export from the place you found the import button
7) Now the boring part, in 3ds max click import but change the setting to "import as a single mesh" and select each part of the object file at time individually (0000_0, 0000_1,e