I want to make my own 3d text which has to look exactly/very similar like in this image: Image (Image from videocopilot.com)
If any one could make me a tutorial or give me Link making it, then I would be very happy. Text tutorial is also fine.

-Imre W

Looks like just a simple case of applying a Bevel modifier, then setting the Levels and outlines.
With some fonts, bevel can get confused. Checking Keep Lines From Crossing can help in sime cases. If not, you may need to extrude the text and use Chamfer in Edit Poly.

Just in case you didn’t know, the font is called Bauhaus:

Software:
3ds Max Design 2012 [64bit] - Awaiting SP / Hotfix
Boot Camp (2.1) Windows 7 Ultimate [64bit] - SP1

Hardware:
Apple Mac Pro (3.1):
- 2x 2.8GHz Quad-Core Intel Xeon 5400 (8-core)
- 6GB (2x 1GB - 2x 2GB) 800MHz DDR2 ECC FB-DIMM
- ATI Radeon HD 4870 512MB GDDR5 - Driver: Catalyst 9.9

Max on a Mac: Life doesn’t get much better!

But how I can make it so shining, so good, so real as it is in the image?

-Imre W

You asked for a link to a tutorial, so just have a look at the tutorials and help files that ship with Max. Materials are fully explained in-depth.

Type what you want, using Bauhaus - CHECK

Samab has explained how to get the depth - CHECK

Max ships with tutorials on how to work with Materials (make it shiny) - CHECK

All you need to do now is read through the relevant help files for each procedure.

Software:
3ds Max Design 2012 [64bit] - Awaiting SP / Hotfix
Boot Camp (2.1) Windows 7 Ultimate [64bit] - SP1

Hardware:
Apple Mac Pro (3.1):
- 2x 2.8GHz Quad-Core Intel Xeon 5400 (8-core)
- 6GB (2x 1GB - 2x 2GB) 800MHz DDR2 ECC FB-DIMM
- ATI Radeon HD 4870 512MB GDDR5 - Driver: Catalyst 9.9

Max on a Mac: Life doesn’t get much better!

But how I can make it so shining, so good, so real as it is in the image?

That’s more of a material or lighting and rendering question, I assumed you meant creating the text geometry since it’s in the modeling forum.
An mr A&D material will do that easy enough. But using the right material is only part of the process, it’s what the material reflects that can define it’s look, this is down to the lighting and environment in the scene.
That image looks like they used a HDRI environment for the reflections and lighting (via a skylight and FG). The direct lighting is comming from Area Lights (set as visible in the render) judging by the large highlights and soft shadows.