Fixed
Ok, here's what you need to do.
1) You can either UNGROUP the objects or OPEN the group
2) select one of the objects
3) In the COMMAND PANEL, click on the MOTION TAB.
4) Select TRANSFORM: Link Constraint... and click on the box just above the window.
5) In the dialogue that pops up, select Position/Rotation/Scale
6) click OK and repeat steps 2-5.
The problem was that you had the wrong Transform controller.
here are some screenshots to help you:
one,
two,
three
and here's the fixed MAX file:
frozen_group
it should work. if there's any further clarifications that need to be addressed or you're not sure of something, please let me know. I hope i've helped...
Good Luck