The space tutorial in max explains it nicely. You need a light, then go into Rendering - Effects, then Add - Lens effects and in the Lens Effects Globals rollout - Parameters tab select Pick Light and click on your light in the scene. Then you can add various effects (Glow, ring, star, streak, ray...) in the Lens Effects Parameters rollout. Tweak with the parameters for the different effects, when you click one, a new rollout will appear for that effect, but you can also modify global parameters in Lens Effects Globals. Use help if you don't know what a parameter does.