Cities XXL help with 3Dmax

As Mr. X² suggested, that should fix it. When you use autosmooth keep in eye on the value next to the button, that represents the maximum anlge on which the faces will be smoothed (look round). If autosmoothing at 45 degrees doesn't fix it, try a lower angle.

 

Ignore what you see on 3ds max rendering window, it's not the output we use, I don't even use it at all. Our output is the viewer and it's what you need to check to make sure the model will be rendered correctly in the game. What matters is what the viewport shows you and to a lesser extent what you see in the viewport (they don't render things in the same way). To render the model "correctly" in 3ds max you need a different setup of lights and maps, and it doesn't really have a point unless you want to render textures or something like that. When it comes to modelling only the viewer and the viewport counts.