Ok first its a good idea to get some reference pics and maybe some blue prints, try http://www.the-blueprints.com/blueprints/sciencefiction/star-wars-imperial/2682/view/tie_fighter/
For this model I used the greeble plugin which is a great little modifier for 3d max and its free. Start with a sphere and start moving verts and deleting polys. Now for greeble we dont want to add it to the whole sphere just to some polys so you can either select the polys and detach them as a seperate object and then add the modifier to the new object or select the polys and add the greeble modifier but do not deselect those polys or the greeble will be added to all polys. But you need to play around with it until your happy with the result.

The wing is a box and I just moved the verts into the right shape and with a bit of cutting and extruding came up with the finished wing.

Ok now the arm for this I used a cylinder with 6 sides, this is where the blueprints are really need to get the shape. You'll need to shrink and expand certain rows of verts till you have your shape and then you can add the greeble to all of it. Play around with the greeble settings till your happy with the result

Now just mirror the wing and arm to the other side and your done.