You need the images to be ending with a sequential number. For example:
vlcsnap-2014-02-13-00h54m28s136_0001.bmp
vlcsnap-2014-02-13-00h54m28s136_0002.bmp
When you then select the first image 3dsmax will detect that they are sequential and will create a ascii file with all the file names, which it then uses to read in all the files sequentially when it's applied as texture.
If you have a lot of images already, then you can easily batch-rename them with freely available software.