The issue at hand is that the dynamic link libraries (.dll) files needed by the plugin did not get installed. You can manually install them by first opening the folder where There's Builder Kit is installed.
This is likely C:Program FilesThereThereBuilderKit , but it may be somewhere else on your system if you chose to install it elsewhere.
In that folder, look for the following three files:
GnuMalloc.dll
ThereKernel.dll
ThereNetClient.dll
Copy them into the folder where you have GMAX installed.
This is likely going to be C:GMAX or C:Program FilesGMAX, although you may have it installed elsewhere on your system if you so chose when installing GMAX.
Once they are copied into GMAX's top-level folder, you will be able to run the GameKit icon on your desktop and GMAX will load correctly and allow you to export to .MODEL format.