You do not export smoke effects, you reference these in your config.txt file. Read up in any of the CCGs or the TrainzWiki of how to configure smoke or d/load a similar asset with smoke from the DLS and study its configuration. Btw, what is "Parasitical" smoke?
Normal/bump maps will get exported with the correct 3DS Max exporter if the naming of the texture maps in the Material Editor of 3DS Max is named correctly as per the TrainzWiki, if normal texture maps have the correct pixel size in a power of 2, if the texture map's name is the same as this is in the Material Editor and the texture map itself, if the correct texture.txt files for all texture maps being used in the asset are exported too with all texture map names correct in these (spelling mistakes are a common error issue). If the Normal texture map being used is an uncompressed TGA texture, this will work correctly.
Do you get any error messages when exporting your mesh(es) or animation out of 3DS Max as you haven't said so?
Animations get exported out of 3DS Max with the Max exporter the same way a mesh (xxx.im) is exported by clicking on the "Animation" part of the exporter. But you have to name an animation file as anim.kin or xx.kin for Trainz to recognize it as an animation file and have that referenced with the correct name exported in your config.txt.
Cheers
VinnyBarb