I think he's talking about 3D Studio Max (looking at the title..). If you have the animation button selected, it automatically makes each individual piece rotate on it's own individual axis. You have a few options. If you just want the entire piece to rotate as one and move together, then make sure all your pieces are selected and click Group(on the top toolbar) -> group. Now all your pieces will be as one. If you have a complex piece, you're going to have to link your pieces to one piece so it will follow the path and rotation of the main piece, but will be able to rotate/move freely. To do this, select all your parts BUT the "main piece" (which can be anything) and click the select and link button. A bunch of lines should be coming out from all the selected parts, now click and drag them to the one unselected piece that you have. Now all your parts should follow that one unselected piece.
Hopefully that helped some, if you're confused on any part of this just ask.
