Mental Ray Sky and sun (Coz I keep forgetting how!!!)

Open your Render Settings: use the button in the Status Line

or got to Window > rendering Editors > Render Settings.

Set Render using to Mental Ray.

If the Mental Ray option is not shown in the pull-down menu of the Render Settings, go to: Window > Settings/Preferences > Plug-in Manager and make sure the check-boxes for Mayatomr.mll are checked.

Open the Mental Ray tab ans scroll down to the section Environment:

Click the Create button for Physical Sun and Sky

Maya creates a directional light in the origin of the scene that acts as the main lighting of the scene, a blue environment and a sun disc. The location of this sun disc is adjusted according to the angle of rotation of the directional light. To adjust the direction of the light, you can select the directional light and rotate it:

The physical sky has now been set up and provides basic lightning to render your scene.

Setting the render settings

After creating the physical sky for a basic lighting, open your render settings again by clicking the render settings button.

First start with the common settings in the 'common' tab. In the image size settings set the resolution, using one of the presets, to 320x240 for test renderings and to 640x480 or full 1024 for final renders:

Now set the mental ray settings in the 'mental ray' tab. In the anti-aliasing quality setting > Raytrace/Scanline Quality set the sampling with a min sample level of 0 and a max sample level of 2 by sliding the max sample level to 2.

Anti-aliasing quality controls the smoothness of edges in renders. The image below shows the difference between high and low settings of anti-aliasing. High settings improve the quality of the render very much, but will increase render time significantly.
Also in the mental ray tab in the Render Features make sure Raytracing and Final Gathering are enabled.