make sure your buddy welds his models together other wise they wont open right in LW then you can save them as an .lwo file. I have a friend that uses max 4 so i am used to him sending models he forgets to weld together and i get what you have a pic of when i open it. Other wise you have to have him save the parts then open each one up in different layers align them then save all of them as one peace. That would be the only other option.
Edit: one other option is to open them up in a free to try program called Milkshape. and then export them in to LWO format. But there it still needs to be welded for MS to open it right.
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Edit: one other option is to open them up in a free to try program called Milkshape. and then export them in to LWO format. But there it still needs to be welded for MS to open it right.