Sorry to bring this back up, just found it while searching Google for max drive help.
I just got my Max drive thing today and just got it sorted, the instruction manual is a joke so I'll clarify it here for people still having problems:
If you're using Windows XP don't bother with the PC disk that comes with the Max Drive, just leave it in it's case. Just insert the Max Drive into the USB port. Wait a while and that little yellow box pops up saying 'New Hardware Found'. Quite a few of these will pop up until you see one pop up with 'Installation Complete' or something along those lines.
Then Open up My Documents and locate where abouts you've saved the .max PES4 option file (make sure it is .max, not .xps). Once located, go to desktop and open up My Computer. There should be a new drive installed, probably the E: or F: drives, this'll be called Max Drive. Open it.
Now make both windows small so they can fit on the screen together. Then in the folder where the option file is, pick up the option file and drag and drop it into the Max Drive.
Once that transfer is complete, take out the Max Drive and plug it into your PS2. Put in the PS2 disc that comes with the Max File and start it up. Once it's loaded up go to 'My Devices'. Then click on Mem Card 1, or whatever your current PES4 option is saved on and delete it. Note: You may want to make a back up copy on a different memory card first.
Once it's deleted, go back to My Devices and click on the Max Drive logo, select the 'P.E.Soccer 4 Option File'. Then select Uncrush to Mem Card 1, then once that's complete it should all be done, take out the Max Drive and the CD and put PES4 back in and restart.
Sorted?