Setting up the photoshop file with UV ref
I'm going to explain two ways you can do this... I can think of at least two more in addition to these I'll explain. (It's amazing how you can do most anything in photoshop at least two or three different ways....)

If you didn't save with an Alpha / Didn't use TGA format

1. Open the file in Photoshop
2. Click on the Background layer and drag it to the new layer icon (this will duplicate the layer).
3. Go back to the background layer, set your background color to white, Select All (Ctrl+A) and Delete (del).
4. Go to the Background layer copy. Choose Image > Adjust > Invert.
5. Choose the Magic Wand tool and in the menu bar along the top of the screen uncheck anti-alias, uncheck Contiguous, and set Tolerance to 0.
6. Click anywhere on the white part of the image and Delete.
7. Rename the layer to UVs or something similar.

If you saved your images as TGA files with Alphas (32-bit)

1. Open the file in Photoshop.
2. On the Background layer, select all (Ctrl+A) and Delete (Del) and it will replace the whole thing with whatever the background color you have selected (prefereable white right now).
3. Go the the Channels tab. You should see 5 chanels, the RGB, Red, Green, Blue and an Alpha channel. Hold Down Control and click on the Alpha Chanel.
4. Go back to the Layers Tab, Create a new layer .
5. Select BLACK as your foreground color, right-click in your image anywhere and choose FILL from the drop-down.
Go back to the Channels tab, click on the Alpha channel, and drag it into the trash-can at the bottom of the channels window.
This is just a precation, but it's a good idea to do it now rather then have something mess up later (if you load a texture with an alpha channel on it, in max, it may assume that you want to use that channel as the alpha and you could end up with some stupid headache when you render - just easier to fix it now to avoid a problem later).

So now it should look like the image above. Name the new layer whatever you want (I usually go with UVs or UV Ref, or something along those lines).

Texturing the Head

The technique I'm going to cover here works for making a low-res real-time head texture. If you're intent is some high-res, high-poly head with a 1024x1024 res texture map, there are different techniques that I'd use. But when you're end result is gonna be small, there are some tips in here that will get a better result.

Start by getting some photo ref. It's really best if you can find front and side views of the same head with the same lighting so you don't have to try to match the skin tone too much.

This is the one that I've decided to go with. These images also came from http://www.3d.sk. Like I said at the beginning of the tutorial - this is a seriously awesome site full of reference and texture good-ness. I HIGHLY recommend getting a month's subscription and snagging as much from it as you can manage. It's so nice to be able to start texturing and not spend several hours googling and sifting through photos and textures on the net to try and find something almost useful. It's much easier to just open my local texture storage (basically a download of large portions of 3d.sk) and find what I need within minutes.

First lets set max up with our work-in-progress texture. In 3dsmax open the Material editor and choose a slot that doesn't have any texture in it right now (blank gray sphere). Click on the box next to Diffuse and choose Bitmap from the window the pops up.

From the select bitmat image file window, set the Files of Type: to All Files, or to Photoshop files. Either is fine, so long as you can find the PSD file with your UV template that you saved earlier.

After you click Open, a PSD Input Options window will pop up. Just leave it on the defaults (collapsed Layers) and click OK.

click the button in the material editor (in row of buttons along top, just under all the spheres) so that the texture will show in the viewport. Then Select the head of the character and click the assign button to assign the material to that object.