BTW, MAX2D does not use any sort of geometry batching, so 'thousands of sprites' will actually create bus bottlenecks and jitters. Implement a 'vertex cache' of some sort to be able to push max geometry throught the system with few hardware calls.
In case it helps anybody :
Max2D also creates a seperate surface for every texture (whether a cell of an anim or normal image).
If you have thousands of sprites stick them in the same pow2 texture and use SetUV to draw them (or search these forums for TAnim).