How do I export scenes w/ key frame animation? When I try, the movie file is still...

What version of Max are you using?

A couple of things to watch for:
-When you say Export, I assume you mean render. If not, that's your problem right there.

-Make sure you enter a file name. Otherwise it will only display the last frame rendered.

-Check the render range, and make sure that it is set to the entire range of animation, rather than to a single frame of animation.