Well you have the object in-game, which says to me that you didn't fail at creating your hierarchy. My bet is that you didn't set up your BF2 Exporter in 3ds Max correctly. Its important to do this so that the exporter chops off the texture paths and instead of looking
C:\Program Files\Battlefield 2\EA GAMES\.... etc. on your actual PC. It instead just goes straight to the mod folder
mods\fh2\objects\weapons\handheld\.... etc.
To check that its set up correctly open the exporter in 3ds Max and click on the run setup button. A dialog box will come up like so:
Make sure the appropriate mod paths are there, try again, and let us know what happens.
If that isn't the problem its most likely in your Materials where your error is.