3ds Max Lights
This plugin supports a number of standard 3ds Max lights including point lights, directional lights, and spot lights. Be aware that, due to the fact that Cycles is a physically-based renderer, these lights may behave differently in Cycles compared to Mental Ray or the scanline renderer.
Note: Most built-in 3ds Max lights have shadows disabled by default. You will probably want to enable shadows.
Directional lights in Cycles do not support size or shape, only direction. Every directional light will apply to your entire scene regardless of its size and position.
Any mesh in your scene with a Cycles Emission material will produce light.
The Physical Material also supports emission.
The environment can be an important source of light for your scene.