You can avoid the manual steps below by using this script I wrote: Download maxscript mg_mr_tools_v02.zipManual ProcessTo 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>
You can type imf_copy and hit enter to see a list of all the possible parameters.