You can avoid the manual steps below by using this script I wrote:
Download maxscript mg_mr_tools_v02.zip
Manual Process
To create Mip Maps, Mental Ray comes with a command line executable called imf_copy.exe. This can be found in:
C:\Program Files\Autodesk\3ds Max 2011\mentalimages\imf_copy.exe
(path may vary depending where 3DS Max is installed)
Older versions of 3DS Max did not come with this file, but I have heard you can get it from a demo version of XSI or Maya.
Once you have located the file, you can run it manually from the command prompt/shell. To launch the command prompt/shell, go to Start/Accessories/Command Prompt.

This will launch a new window with the Command Prompt. For those not familiar with DOS, I’ve written the commands below.
To open the folder with your file type in cd <your path>:
cd “C:\Program Files\Autodesk\3ds Max 2011\mentalimages\“
<press enter>
Next, type in:
dir <press enter>
This will give you a list of files in the folder, and you should see imf_copy.exe.

Now that you have confirmed that you have the file, you can run it.
From the mental images folder, you can run the command as follows:
imf_copy -vrp <path><source filename> <path><target filename>
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You can type imf_copy and hit enter to see a list of all the possible parameters.

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