You have to use path constraint under animation within GMax and apply "Ambient Animation" (using the Animation SDK)
1.) Draw your line you want the vehicle to follow
2.) With your vehicle selected, select the "Motion" modifier in the toolbar:
This will then bring you here:
3.) Click "Position : Position XYZ" - the "Assign Controller" button will now be clickable (just to the left of my cursor in the following pic)
4.) Click the Assign Controller button and a new window will open, you will want to select "Path Constraint" and press "Ok"
5.) Now, under "Path Parameters", click "Add Path" and then select your line. Your object will now snap itself to the line, you can preview the animation at this point.
At this point, it's worth noting that the model is not "following" the line as if it were a car, ie, constant heading through corners.
6.) Press the "Follow" checkbox so your car actually turns on corners
Now, your car should be following the line as if it were a car.
7.) Press "Trajectories"
Here you will need to specify the start and end frame, mine is 0-100 just for this quick tutorial write up - but for a real car following a real road, it would need quite a lot more frames so the car appears to be driving at a more realistic speed across a set distance, this is entirely up to you. Next part is the samples, by default it's 10, quick maths - if I have 100 frames with 10 samples - it will use the position/rotation of every 10th frame of the animation, thus cutting short the animation path. Just for this I will use 50 samples, more than enough and it doesn't really destroy my path.
8.) Specify your start frame, end frame and samples then press "Collapse"
9.) Now go to "ACES Tools" toolbar and then "Animation Manager" - click to highlight "Ambient" then enter the start and end frames (0 and 100) then press "Create"
10.) Close the animation manager and then open it back up to open the "Summary" dialogue box. (There is a bug that when you initially add the animation, it does not immediately display in the summary)
The animation is now registered and you can now export.
Before you export though, check these:
It's best that you apply your FSX material to the object before running it through the animation process
Make sure you have "Skinned Mesh" turned on in the material properties