Complete Walkthrough:

1. Download my scripts off the front page of the site, up at the top. Find out where you installed gmax. Inside the gmax folder will be a directory called "scripts". Inside that folder is another folder called "startup". Copy the files you just downloaded into that folder and start up gmax.
2. Download "GMaxSLGRAB", found here. It is a simple binary that will grab the full text buffer from the maxscript listener and save it to a file of your choosing. If the above link is dead you can also get the tool here. Extract it someplace convenient, then run the program. A window will pop up, move it off somewhere out of your way.
3. Next you need the rendering software, which is called Yafray. Go here and download the Windows version of the software.
4. Now it's time to start the fun and games. Load up gmax. Your scenes will need to meet a couple of requirements before you can do a successful rendering. For one, you need to set up a camera. You do that by going to the "Create" menu (it's the mouse cursor pointing to the star on the right side of your screen), and click on the camera icon. Choose a "Target" style camera, then click and drag somewhere in your scene. Where you click is where the camera will be, where you drag to is where the camera will point. Once the camera is created, you can fine tune the view by clicking on the boxes of the camera and moving them about.
5. You also need to put a light into gmax. If you know nothing about lighting you will want to learn about them (hint: use google) to get the most out of rendering, but for now, we'll just plop in an Omni light. Again go to the Create menu and click over to the Light section. Hit the Omni button, then click in your scene. The effect on your scene will be immediatley obvious. Switch to Modify mode and move the light to be exactly where you want.
6. Lastly, you have to set up a viewport to show what your camera is seeing. Pick a port, and right click on the title of that viewport. Mouse down to Views, and pick the Camera option at the very top.
7. Now for the scripts.
8. First, open up the Utilities panel. This is marked on the right side of your screen with a little hammer icon. Click that and a bunch of buttons should appear. Down at the bottom is one labeled "MAXScript". Click that. At this point a little drop down menu appears, in that list select the "Yafray Export" option. This should make yet another button appear. Press that and finally you will see the exporter interface in a little window.
9. In this interface is a bunch of options and rollouts and such, which I describe in full detail right here. You can ignore most of them for now, the default options will in general be good enough to get a scene rendered.
10. Click on the "Save As" button in the interface. A file dialog appears, navigate to wherever you installed yafray and name the file you want to save to.
11. You need to open the Listener. This is just a text console where debug info for maxscripts gets printed. Or in our case, mesh info. Over on the very far right of your gmax screen will be a little icon that looks like a hammer (the Utilities panel). Click it, and a ways down should be a button that says MAXScript. It should be the very last button. Press that button.
12. Press the button that says Open Listener and the MAXScript Listener should appear, perhaps with some text in it.
13. Select the viewport that you set to show the view of your Camera. Deselect any objects you have selected, and in the Yafray Exporter interface press the "export" button. The Listener window should go bonkers with output and provided all goes well the script won't crash. Yay for you, you just exported a scene (almost).
14. Next, you have to get that text from the Listener into an XML file that Yafray can parse. Remember that little utility I had you run? The one with the big "GRAB" button? Press that button now.
15. Almost done! The next step is actually running yafray. To do this you need to open up a dos window. To do that find it in the Start menu (usually under "Accessories"). You will need to change directories to the yafray directory. To do that, type in a command such as this:

    cd "C:\Program Files\yafray"
    

    And hit enter. Now you have to remember what you named the file as, and run a second command and hit enter:

    yafray myscene.xml
    

16. Quite quickly the program will spit out a bunch of text and you'll see a progress meter tick out the rendering process. When it finishes, it will dump a file called gmax_render.tga into the directroy. Open that image in your favorite paint program and if all went well, you'll see a stunningly rendered version of your scene.
17. If not, continue on to the troubleshooting section. You are now ready to render anything you want as often as you want.