When using OpenEXR from 3ds Max to 3ds Max Composite, ensure you ‘Save as Tiles’ for increased performance inside of Composite. This can be easily setup via the standard image 'Render Output File' Settings. To do this ensure OpenEXR is selected from the file type drop down box. Once you enter the files name it and press 'Save' it will automatically prompt you to review the settings. However, you can also amend these settings by selecting the highlighted 'Setup' button below.
From here it will open the below dialogue window (OpenEXR Configuration). You should see in 2012 that the default is now configured for 3ds Max Composite.
If using render elements (which I strongly recommend) ensure the toggle option is enabled. This will automatically propagate all your pre-configured elements into the OpenEXR file.
For Adobe After Effects or Photoshop, I would recommend you change the 'save-as Tiles' option to use 'Scanline' as the storage type option.
It is also worth noting that its a common misconception to have to render at 32-bit depth. a Half float 16-bit depth will more than suitable for most tasks, and have the benefit of a lighter footprint. (Found in the top left corner of the settings window.)