You need to check your Gamma settings for rendering stuff and the textures in MAX and possibly check your project color settings and footage interpretation in AE. Nothing so much to do with AE actually. This is basic stuff. The rest is beside the point. Yes, masking is tedious even with Rotobrush and Refine Edge, but there can't be a magic button for everything. Or how do you think this stuff is done on movies? There's armies of poor roto artists doing this all day for a living...
You need to roto the trees to get them in front of the windmill. Color correction is also a huge part, maybe the biggest part, of selling the placement of a 3D object in a scene. You have not done either. Here's the best set of tutorials I have ever seen on compositing. They will give you the basics. Just the demo video will give you what you need to make this shot work and a lot more.
Thanks for the help guys. The problem was in Max, I don't know exactly what, the Gamma settings looked fine to me. To fix it I just deleted the Save State and it's Output file and Targa. Then remade them. My guess is when I changed the exposure control it screwed everything up.
I also played around with masking, just getting to know what I have to do before I do it.
Yes, no color correction has been done, even the placement of the Windmill isn't final, this was just for practice and preparation. I am curious as to HOW I should color correct this, I'm still not sure if I want the video darker or more colorful....
Mylenium, I'll look into the Rotobrushing and Refine Edge, and thanks Rick for the link, I'll watch it sometime soon!