Yes, you must add the texture paths to the render nodes, using Customize->Configure User Paths->External Files.
In case you can't run Max interactively on them, the texture paths are defined in the following ini file:
C:\Documents and Settings\<username>\Local Settings\Application Data\Autodesk\3dsmax\<max version>\enu\3dsmax.ini (see the [BitmapDirs] section)