The non-useful converter is downloadable here (240KB), containing grnreader.exe, which kind of reads a limited selection of GR2 files and outputs some MAXScript to create the mesh in 3ds max / gmax (though the latter is untested). (It'd be relatively straightforward for somebody to modify the output code to generate a different file format, if anybody wants to try.)

Usage instructions are somewhat like:
1) Find a suitable .gr2 file - animated units seem to never work, so plain buildings (I've used HC_cathedral.gr2 when testing) are best.
2) Copy it into a folder containing grnreader.exe and granny2.dll (the zip includes the DLL from the demo).
3) Run "grnreader.exe HC_cathedral.gr2" (or whatever the file is called) from the command line. (You could probably instead drag-and-drop the .gr2 file onto the .exe, but then you wouldn't see the error messages, and I've never tested it that way.)
4) In 3ds max / gmax, use MAXScript -> Run Script, then select the output.ms which should have been generated in the folder containing the other files.

Optional 5) If you want textures, you hopefully just need to set up the materials correctly - convert the model's textures into .tga, then put the standard texture into Diffuse (with Alpha Source set to None), and copy it into Opacity (with Mono Output set to Alpha). For specularity (which is even more optional), put the bump+spec texture into specular (with Mono set to Alpha again). For bump maps, new versions of 3ds max might be able to handle that natively, though I don't know how; otherwise, try the Displacement Map Creator to convert the bump+spec texture into a 'displacement'/'bump' (as opposed to 'normal') map, and then put that into max's Bump slot (and probably set Amount=100).

The result of all that should be like this.

The zip also includes source code (plus code generators) and VS2005b2 project files. The code is not meant to be any good. Consider it all public domain, and do whatever you want with it. (I haven't touched it for the past two months, and am unlikely to do anything with it in the future.)