Other than 3D Studio MAX R3.1, you should also have a VRML viewer and a text editor. If you're going to use textures, it's also nice to have a program like PhotoShop to manipulate image files.
A Browser with a VRML Plug-In, or Other VRML Viewer
The most comon way to view VRML content is using a standard browser (i.e. Netscape Navigator or Communicator, or Microsoft Internet Explorer) with a VRML plug-in. While working on this tutorial, I used Cosmo Player 2.1.1, developed by SGI and now distributed by CAI. Be prepared to download 3MB-5MB in order to get a VRML viewer. Different viewers render and navigate differently. So, if you are producing VRML for public consumption, it's wise to test with several viewers.
A text editor
Like HTML, VRML is an ASCII-based file format. You'll need a text editor to examine and modify your code. I used Microsoft Word97.
An Image Editor
Photoshop allows you to edit image files like JPEGs, for producing texture maps.