The most robust method of exporting lighting effects is through the OSG exporter for Vizard. You can download this exporter for MAX 8 (anb 5, 6, and 7) here:
www.worldviz.com/products/vizard/tools.html
(note that this pages was recently changed and now links to new exporter plug-ins)
If you new to real-time lighting issues, you should know the following: 1) Vizard supports omni, spotlight, and directional real-time lights. Other real-time lighting effects within Max are not supported. However, for static lighting of a scene, you can obtain very sophisticated results using Max's render-to-texture features. The OSG exporter supports these baked texture results.
When you export your scene, you can suffix your files either with .OSG or .IVE. The formats are functionally equivalent but the latter embeds the image data within a binary file and therefore while much larger in size it loads incredibly fast and is free of supporting texture files/directories.