Mostly Harmless
Legacy:Lightwave/Importing 3DS
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.