The only light you can use is a target direct light to define your physical sky:

and enable the option "Physical sky"
The other options are hdr lighting (exr) or a constant sky.
Finally, you can use mesh emitters, for which you must create an "Indigo emitter" material in max. This will turn any mesh into a source of light.
so summarizing; lights can only be:
1.Target direct light for sky (or a daylight system, target direct is easier)
2. HDR (exr)
3. Constant color in the bkg
4. mesh emitters
grab this max test file:
http://afecelis.gdlib.net/Indigo/M2I/test02.zip

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