The wool was made using the Hair & Fur modifier. OBJ file without the Hair & Fur modifier, the archive contains a "jpg" file with the wool settings. In the 3ds Max file itself, the hair is disabled, you need to enable Hair & Fur in Modify.

Name: Children_decor_04
Version: 2015
Units: Millimeters
Dimension: 679.23 x 348.2 x 1608.97
Polys: 192 779
Verts: 125 606
Model Parts: 24
Render: Corona
Formats: 3Ds Max 2015, OBJ

Shelf: https://www.rafa-kids.com/product/xl-shelf-limited-edition/ 
Chair: https://www.eo.dk/shop/p/sheep-chair