Introduction
This tutorial is slightly incorrect. I haven't the time to update it yet, but the general method to create level lighting is still correct, just incorrect in the ideas behind it.
In MaxEd there are two basic lights. Spotlights, which provide lighting for the walls, meshes and just general geometry. And pointlights which provide light in the game for the models and dynamic meshes. The in-editor radiosity renderor is only affected by spotlights, whereas the in-game models (like Max, weapon items, and enemies) are only affected by pointlights.
Pointlights
As mentioned earlier, pointlights only affect models in the game, not level geometry. Pointlights are entities just like an enemy, a gun, or the jumppoint. This means you add them by going into Model mode (F3) and then moving the cursor over where you want your new pointlight, then pressing 'n'. Choose pointlight from the dropdown menu. Under the 'Pointlight' tab is the data you want to edit. Intensity is the general brightness of the light, and falloff determines the distance the light travels effectively. You can change the color of pointlights by clicking on set color. That's all there is to pointlights!
Spotlights
Spotlights are what really light your level. They're what make the walls appear darker, and provide 'mood lighting' for maps. They are somewhat trickier to use than pointlights, though. Spotlights are not entities. They are in fact an entire face of a mesh. For an example of a spotlight, I suggest you make small working map. Use any previously made map of yours if you want. Now create a small mesh, just a little cube. This will provide the surface for our spotlight. Move the new mesh into one of your rooms and place it whereever you want. Group it into your room (F5 ctrl-e). Now go into 'Texture' mode (F6). Choose which face of your little mesh you want to emit light from and middle-click on it. Now choose 'Set light color'. In order for a surface to be a spolight, it's light color must be something other than pitch black. You can make it red, blue, orange, white, any color you want. Voila, you now have a spotlight. To remove a spotlight, do the same thing, but set the light color to pitch black. Now in order for the lighting of your level from spotlights to take effect, you must run the radiosity rendering.
Running Radiosity
Radiosity is a wonderful thing in MaxEd. It lends itself to much more realistic lighting than nearly any other editor. In order to run it properly, you MUST have at least one spotlight, otherwise weird, and sometimes painful, things can happen. To set up radiosity, you must edit your preferences. Preferences are under the menu 'Options'. The only real aspect of the preferences which I fully understand is the radiosity passes. A 'pass' is a sort of reflection. If you set passes to 1, it won't calculate any reflected light. If you set it to 2, it will calculate light from one bounce, and etc. Obviously more passes mean better looking lighting, but considerably more processing time. I'll list my radiosity preferences here so you can copy them if you want.
Radiosity Viewport Size 32
Radiosity Passes 3
Radiosity Boost 32
Radiosity Backplane 30
Global Lightmap Res 100
Now that you've configured radiosity, you're ready to run it. Go into 'Move' mode (space). Make sure you have the editting window selected and press 'r'. A message box will ask you if you want to use the preview algorithm. The preveiw algorithm is faster, but only does 1 pass, while also ignoreing transparent meshes and polies. If you're going to submit the map, definately choose 'no'. A second message box may appear, mentioning that you have selected to render without exits, choose 'yes'. This is fine for now, but once your levels become larger, edit your preferences to run radiosity with exits. A black screen should appear, even if just for a moment. For longer radiosity jobs, some info is shown below, and well as a visual in the upper-left corner. Once it is finished, you should be dropped back into MaxEd. Press F2 to turn off wireframes, and now admire your room with lights.
Conclusion
Well, now that you know the difference between spotlights and pointlights, and how to use them, it's important that you still use them both. Be consitent! If the textures on the wall look red, while Max looks blue, that's not going to work very well. Well good luck with your future maps. If you have any information on what the various radiosity preferences refer to, don't hesitate to tell me.