I assume you're talking about constraints as in Inventor. In that case, you can't constrain anything. You can, however, link objects (lock them in place relative to other objects).
See this page for an image and a bit more detail:
http://animation.about.com/od/3danim...ax_less1_3.htm
If you've played Garry's Mod, it's almost exactly like the weld tool.
Also, any future 3DS Max posts should go in the 3D Animation and Competition forum.