Getting a Normal Map out of Zbrush is easier than I thought it would be, all though make sure Snormals is highlighted in orange or nothing shows on the normal map, then click create normal map. Depending on how high poly your model is, now might be a good time to get a cup of tea!
Your normal map should look embossed like this-
I almost forgot to mention, you should save your Normal Map as a .Tiff file.
If you dont think there is enough detail in the map, dont worry! You can always mess around with the settings in Max or Maya, or if that still doesnt look right then sometimes its worth going back to the Zbrush sculpt and adding in more detail.
I had a few issues getting the normal map to render in 3ds Max. First you need to set the renderer from Scanline to Mental Ray. In the material slots, go on bump maps and select normal maps
You can ramp up the map settings to suit your model. However when you first render the normal map in max it might look like this-
Doesn't look very pretty at the moment does it? This is to do with the Gamma Settings. To change this, go to Customize- Preferences. Then click on the 'Gamma and LUT' tab. Make sure that 'Enable Gamma and LUT correction' is unticked.
Once that is unticked, try rendering again. You should now have a detailed Normal map :)
The horse could do with more detail, but for the sake of meeting deadlines I think I am just going to leave it as it is for now, and go back to the sculpt if I have time before the final hand in.