Getting started with Max for Live
Double click on a generic Max device to launch it, and click on the edit button. A window called the Patcher appears. It takes a few seconds to load the first time. There will also be a Max menu at the top, in the menu bar, with extensive help documents. You can hide the Patcher and ignore the device now, it's the menu we're interested in.
opening Max for Live in Ableton Live 9
Incidentally, if you click on Live (you shouldn't need to) the Patcher will vanish, and you can't use Afloat on it to keep it on top of Live. To retrieve it, double click on the Max device, click on the Max icon in the dock, or use the normal methods like Application Switcher or active screen corners.
In Help there is a Max for Live section. This contains a link to the tutorials, and the first one is called Hello.