Without helper objects, your users will be able to move through your world, but their interaction will be limited to looking at objects from different angles. Helpers make your world more interactive. They also provide a number of other userful functions.
The first four steps are the same for inserting any helper object:
1) Go to the 'Creation' panel and choose 'Helpers'.
2) On the pull down the menu, select VRML 97.
3) Choose the Object Type (e.g. Anchor, AudioClip, Background) by clicking a button
4) In a 3D Studio MAX viewport, drag the mouse anywhere to create the Helper Object icon.
Note: When in doubt, it's best to insert helper objects in the Top viewport in 3DS MAX. Postion-sensitive helpers (e.g. LOD and BillBoard) have the best chance of working correctly when inserted in the Top viewport.
This tutorial illustrates the use of two Helper Objects, NavInfo and TouchSensor: