Normalmaps should work as expected. Just create them in your modelling package (3dsmax) and assign as if you would for usual rendering. The exporter should take care of the rest. If you don’t know how to use normalmapping at all, i suggest looking for tutorials on the web, as that’s a bit behind the scope of this forums.
Note that you should always save your maps to disk. Generated/procedural textures won’t work.
Put the normal map in the bump slot. As a side note I’ll only say that you won’t get normal mapping and “shininess” at the same time, normal mapping needs the shader generator, and sphere mapping is not supported by the shader generator. You can put a white texture in the specular color slot then the model will be glossy but not with (mirror-like) reflections.