Problem:
3dsMax and MentalRay standalone render out two separate files for each frame and one of the files have the whole file path in its name. The files with the correct name has only the size of 1 kb and seems to be corrupt.
It also only renders out the last frame to all the frames in the animation. So all the files contains only the same last frame.
Solution:
Last frame: The problem that it renders the last frame on all the frames is a bug in 3DS Max .mi file generator for incremental .mi files. The solution is to use one .mi file for every frame.
Paths: Put in a command line option called -file_dir and specifiy the output render path (ie. as a UNC path) it solves the problem.