You can use the eggObjectFlags.mel script (which you can find in the Panda source) to tag objects in Maya for collisions. For instance, if you tag an object with the “Barrier” flag, it will become an invisible collision wall.
Or, you can hand-edit the egg file after you have exported it, as described in the manual, to add the appropriate collision flags. This works for both Maya and Max models.
An egg file is an ASCII text file; it will not consist of strange characters. If you open an egg file and you see only strange characters, it means either (a) this is not actually an egg file, or (b) this is a compressed egg file, i.e. foo.egg.pz, in which case you can uncompress it with the punzip command.
David