Worst-case scenario: the UEd Goblin wipes the map and burns down your house.

From Unreal Wiki, The Unreal Engine Documentation Site

As of lightwave 7.0 (perhaps earlier) the 3ds import Plugin Autoloads and is part of the open object dialog.

Simply switch the dropdown filetype menu from "objects" to "All Files" and then select the object you wish to open.

This goes for all object formats that Lightwave supports.