PxlEyes has a tutorial online that uses 3dsMax, Glu3D, and Cebas Finarender to create an animation of an egg being shattered by a bullet.  The tutorial is a bit old (based on Max7) but many of the techniques used still apply on newer versions.

The total tutorial is about 40 minutes, and split into 2 parts.

Making of a Bullet Hitting an Egg – 3DS-Max Video Tutorial – Pxleyes.com.