From past years, it seems that Autodesk would prefer you didn't use any 3rd party programs for the FIRST animations.
That leaves two options for adding sound.
1. Use Combustion, I personally have not used it enough to know how, but I believe you can add one track of audio which, if you need multiple then you can compile just the sound from a program such as audacity.
2. Put in the sound before you render in Max. To do this, you want to go the Graph Editors --> Track View-Curve Editor --> right click Sound (make sure it's highlighted first), and choose properties. From there you can choose an audio file (I know that .wav and .mp3 work and probably others are supported). This is also a one track deal (someone correct me if I'm wrong there), and you can compile seperately for the audio.
For non-FIRST animations though, I use MAGIX Movie Edit Pro. It's only about $50, supports 16 tracks and .mov along with some others.
As for the black screen and parts of an animation, we have always used Video Post, which can be found in Rendering --> Video Post. It's pretty cool and has a lot of options and I won't get too far into it here. Just one thing to note, if you add a pre-rendered video file in Video Post, it'll strip it of it's audio.
Hope this helps!
