do I need to learn coding?
No, since you're only making visual assets. But if you actually wanna put stuff into a game, it's important that you learn to code/program it into the game. For Killing Floor, you'd want to learn Unrealscript so you'd grasp some understanding of how it's done. Alternatively, you can get someone to do it for you.
There's a lot of people on these forums who can program things into the game, so if you ask for help, I'm sure they'll lend a hand.

(Don't forget to show us screenshots of your work!

)
Do you already own a copy of 3ds max? If you do, I'll assume you own a cracked (pirated) copy of the software. I don't blame you, it costs $4000, I think.
There are other programs you can use to do modelling. My old favourite,
Blender is totally free and you can make some great work with it.

There's a good few tutorials on the internet that teach you everything you need to know about blender. For 3ds max, however, you might wanna buy a book specific to the version you use. I use Max 2010, and I use the book
"3ds max 2010 bible" and
"How to cheat at 3ds max."
Don't forget, it's hard work getting working animations and stuff into the game. Just be
very patient and remember that you're going to spend a lot of time re-doing a good few things as a newbie.
On the account of working with the Unreal engine, I'd suggest you read the books
Mastering Unreal Technology Volumes 1, 2 and 3.
They're expensive, but they're worth it!

Good luck!
