This tutorial is about making something like that volumetric light you see in Kinetix logo.
I red somewhere someone asked about it...

This is also my first tutorial, so if you find it useful please let me know, and I will be even more inspired to do another one.
Now, updated for MAX 2.

-GEOMETRY-

The geometry is created by applying a Bevel modifier to a rectangle shape with the text cutout from it. To cutout the text we'll perform a Boolean subtraction on splines.

Turn on 2D-snap (leave this on for the whole tutorial ), and in the Front viewport, in Create/Shapes create a centered rectangle:

Length=100
Width=240.

In Create/Shapes create the text:

Font=Arial Bold
Text="MAX"
Size:90

In Front Viewport click on origon to make the text centered inside the rectangle.

In Modify Panel, with the text selected apply the Edit Spline modifier. In SubObject/Vertex, select the two vertices (Ctrl-click the other one) in the letter "M" and move (constrained to y-axes ) one "snap" or 10 units down (shown in figure).

Later when applying the Bevel modifier it will look better this way.

In order to perform a Boolean operation on splines they must be part of the same shape, so next step will be to attach them to one another.

In the Edit Spline modifier, turn off Sub-object level, click the Attach-button and attach the rectangle to the text by clicking on it when the cursor changes.

In Edit Spline go back in to Sub-object level/Spline (this time), and select the rectangle( it should turn red, if you have default settings). Click on Boolean and choose Subtraction...now pick (click somewhere on the text) the "text-shape" when the cursor changes.

At this time you can't see if the Boolean really worked, and if you want to be sure, apply the Extrude modifier to turn the shape into a mesh, and check it out in a shaded viewport. If it didn't work you may have to edit some vertices. If you used Arial like me I'm sure it did. (Don't forget to remove the Extrude modifier).

Finally apply the Bevel modifier with these settings:

Start Outline=-1,5

Level 1:
Height=3
Outline=3

Level 2:
Height=25
Outline=0

Level 3:
Height=3
Outline=-3

Check Keep lines from crossing. All other settings is Default.

-MATERIAL-

In Material Editor, click Get Material and pick for this tutorial the material called Gold Crinkle in MAX Library. Adjust the Shin. Strength to 100. With the geometry selected click "Assign Material to Selection".
Now adjust the Perspective Viewport to something like in figure.

Now's the question what lightsource to use for the volumetric light. Since the lightrays has to be blocked and only shine through the cutout letters, the lightsource has to be able to cast shadows. That leaves us with the spot and the directional light. The spot spreads its light in contrary to the directional (parallel) light. Lets choose the Target Spot and place it distant from straight behind to be able to get slight angled rays.

In the Top Viewport zoom out until you got a 100 unit Grid (look at the Statusbar). Create a Target Spot 600 units (6 grids) from behind and the target snapped to origon.

Now the geometry goes black since the default light is not present anymore and the only light in the scene is the target spot from behind.

Settings:

Color:
R=254
G=160
B=60
Multiplier=1,0

In MAX 2 just leave the color settings to default.

You can experiment with the multiply setting together with the density later in the volumetric light settings.
 

The geometry has to cover the hotspot to avoid light shining outside.
Adjust the hospot:

Hot Spot=13,5
Fall Off=15,5
Cone=Rectangle
Asp=2,5

The light starts fade out at the geometry.

Attenuation :

Check Use and Show
Start Range=650
End Range=1000

In MAX 2 use these settings for "far" attenuation only.

Check Cast Shadows and use Shadow Maps.

Volumetric light will only work with Shadow Mapped shadows.    

Remember that when you put a lightsource in to the scene the default light is not present anymore so you need to put some light in it. I placed a couple of omnis using the Place highlight align tool in MAX to highlight those beveled edges. To use Place Highlight click/create an omni in lets say the Top Viewport in front of the geometry. Choose Place Highlight and in Perspectiv Viewport drag the cursor across the geometry. As you drag across the surface a blue line appears at the cursor, showing the normal of the selected face. The omni move to higlight the selected face.
 

MAX 1.2:

In Rendering/Environment,  add  Volumelight. Pick your spot and use 6,0 for density (room for experimenting here), white fog color and MAX Light to 100 % since this will make a brighter white light from the lightsource, and use Filter Shadows: High, for the final rendering.

MAX 2:

In Rendering/Environment,  add  Volumelight. Pick your spot and use 6,0 for density (room for experimenting here), white fog color and MAX Light to 100 %. Some yellow attenuate color. Check "Use attenuation color" and crank the atten mult up to 15-20. Render and experiment. Filter Shadows: High for final rendering.

More about volume lighting you can find in this tutorial.