Earl,
Are you changing the IP address to an address outside of your subnet or to something otherwise unreachable? What is the IP address of your PC and what is the IP you're trying to set the controller to? Make sure you can still ping the controller (Start » Programs » Accessories » Command Prompt, then type ping 1.2.3.4 with 1.2.3.4 being the IP address of the controller). When you change the IP address of the controller, MAX will remember the controller is there, but in fact it may not be able to reach it.
Also, as always, make sure the Windows Firewall is disabled during this phase of your setup.
--Paul Mandeltort
Automotive and Industrial Communications Product Marketing