the default renderer that comes with max is good enough i would say (not mentalray) and im sure that HDRI can be rendered in any renderer. I use HDRI quite a bit there are plenty of tutorials out there for it, and like lostseed said the skylight with lighttraser gives absolutely brilliant results. but do this to
when you make the new skylight select "cast shadow"
under LightTracer option change the "Rays / Samples" from 250 to 500-1000
under the render toolbar under "filter" select "Catmull-Rom"
2 other options you can try are make a plane change the "scale" under its properties to 100 and apply a good material to it, one other that gives better results with certain materials is the "Enable global super-sampling" which can be found under the render toolbar o if you do activate supersampling select "hammersley" will take some time to render though
hope this helps