its fairly simple acaully you use lightwave?
basically create curve lathe it duplicate it reducing it hight and width by 50 % then streach it from teh bullet namr the inner one somethingand the outer one something else althouh in the end i think they had the same texture - not sure if in max you have weight maps but i used a weight map and painting it at the traning edge to try and use it to taper off so there was no hard egdes partically sucessful -still needs a bit of work though anyway i repeated the tube process making another one but a different shape and longer than the first set
anywya you need a fairly desnce mesh so use

of divsion in your curve in lightwave go to option and set curve to fine then lathe it
anywa then jitter ( hmm randomise the location) of the points by small amount it likk look like hell after this but then use a sub d surfacing onit - think this iscalled mesh smooth in max
oh thesecond set os dual tubing is a different surface from teh first
no basically on the first one set tranpaeerncy to about 60% and give it a light grey colour give it some edge transparency set the refractive index to about fall off with the weight map so it should be 1 at the end ie no effect and at the front i gave it RF of 1.1 you might want this slightly different thoguh upto you
the outer tube has refractive index of 1 all along it but is otehr wise the same as the first one (first one should use the weight map for atransparency fall off to 100% aswell)
anyway then make a basic hall and dump the bullets in and go for it