Delete it and create a new polygon / face to fill the holes leftover.
To create a poly, select the polygon type, select 'create'. Then click on all the vertices (the icon will change appearance when over a vertex), in a clockwise / anticlockwise manner until the new face is created (when you click on your starting vertice again; during this operation the display will show a red outline triangle showing the edges selected).
NB: it's possible the face created may require flipping after created (it'll be selected by default; if you can't see it simply click the flip face button). Also, be careful to click on vertices; if you click on 'empty space', max will create a new vertex there - this can get very messy.
