To get the Microsoft Kinect to talk to Max/MSP you'll use the intermediary application Synapse. Synapse uses the Open Sound Control protocol to relay the spatial information generated by the Kinect to a UDP(s) port on your computer. Essentially it creates a server, using a specified set of ports, to which other applications can attach to send/receive information. In this case, Synapse talks to the hardware (Kinect) and feeds info to a port. Max, using a udpreceive object, attaches to the Synapse port and retrieves the data in OSC format. It all works in practical real-time (there may be some lag, but it's imperceptible).
Download and extract the files in the Public directory of the art-tech.arts.ufl.edu server. The files is a zip file called Kinect-Max-Synapse.zip and is located in the Public->Hardware->Kinect folder.
The webloc files are URLs to the sources. Because things change, you might want to be sure that you have the latest versions of the various libraries by checking this website: http://synapsekinect.tumblr.com/