The key is to "Center The Pivot" and "Reset Xform" both the Spline and the Object before the PathDeform otherwise there is a strong chance they won't align.
my screenshots...
01. Create Tab : Create a Line
02. Hierarchy Tab : Click "Affect Pivot Only" > "Center To Object"
03. Utilities Tab : Click "Reset Xform" > Press Button "Reset Selected"
04. Modify Tab : Showing the "Xform" modifier has been applied
05. Right-Click "Xform" modifier and click "Collapse All" which converts to an Editable Spline
06. Create a Box the same length as the Line and set the segments so that each face are about equal "square" size
07. Repeat Steps "02 - to - 05" and the Box will become an Editable Mesh
08. Modify Tab : Add the "Path Deform Binding (WSM)" Modifier and Press Button "Pick Path" > Select Line then Press Button "Move To Path"
Please let me know if you're unsure of any of the above steps.
I have provided the .MAX file used in the screenshots (requires 3dsMax 2011 or higher to open)