I had to first uninstall Beta 1 of WinFX, its SDK and the Visual Studio 2005 integration from my computer. Max uses the September CTP of WinFX. Fortunately that version still runs on Beta 2 of the .NET Framework 2.0, so I didn't have to uninstall that. The setup for Max automatically downloads and installs the correct versions of .NET 2.0 and WinFX when not already present.
Max really showcases the new possibilities for UI with Windows Presentation Foundation and sharing photo presentations through Windows Communication Foundation. It is hard to judge exactly how difficult it was to create such an application because Microsoft has not released Max' source code ;( Since Max is said to be a codename, I suspect Microsoft wants to productize it (and give it away for free to genuine Windows users) and will never release the source code.
A lot of people were not impressed by Max because there are better photosharing applications out there. I think that is not the point. Max is about how relatively easy it is to create such an application using WinFX. Of course it can be done using other technologies, but Microsoft claims that will take considerably more effort. And I believe them.
And yes, Max is a memory hog, but remember it runs on pre-release software that's not fully optimized yet.