oh, could it be an anti-piracy measure ? (if it's one you didn't bought).
Did you already use older 3DSmax and have enough experience with scene rendering, or are you new to that?
here is a screen of Max6 rendering menu :
Go to menu "rendering/render...", or hit F10.
You can see the "rendering engine" for every type of job. Production is the one used when you click on the tea-pot.
The default one is "Default scanline renderer", it's a rendering engine calculating the image from top to bottom.
If you don't set any light in your scene, then there is a global lightening.
Right after you put 1 light source, the global ligthning is removed and all the scene light depends on your own.
Then you have "Mental Ray" renderer which is a Raytracing engine. It's used best for calculating reflection/refraction. It's calculating the emitted light within a radius of each object (well, I may be wrong, I don't remember well).
Then, you can add (or maybe 2011 has some by default) renderer plugins, like Brazil. This is a "Radiosity renderer". it's the best way to make realistic scene, but needs a lot of time and process.
Instead of showing lite object in a scene, it actually depends on light particules emitting (photon emulation), and every photon are bouncing on the object surface (so you need to define the type of surface for every objets, plastic, metalic, color, temperature, etc.).
This type of renderer doesn't work with normal light. If you set "omni" or "directional" in your scene but use a radiosity renderer, then your scene will be rendered all black because there is no photon emitting.
be sure to select the correct light type here corresponding to the renderer you are using:
1st one is for normal light source, for scanline renderer.
2nd one is for 3DSmax internal radiosity renderer, and the 3dr one is for the Brazil plugin only.