Dont worry this very simple thing to do.
What all you have to do just name ur material when u create. then whenever you wanna new material slot just go to "Utility" menu in material editor and then select "reset material editor slots". now all material slots will be replace to blank gray material slots.
Now if you want your older material which you have used in ur scine then only you have to do
1) select ur object and go to material editor click on get material button, from the material/map browser select "selected" now you could see your selected object material in material/map browser.
2) If you have assinged name to your material and if you could identify them then just click on get material and then in material/map browser select "scene" now you'll see all material whatever you have used in ur scene in material/map browser. then just select and dubble click on it to load in ur material editor.
you can ask me any question regarding 3ds max or maya on email@example.com
just mention "Need 3D help" in subject line.