In this tutorial I will try to summarize what I learned throught trial and error about Mental Ray shaders, and how to achieve interesting volumetric effects only through shaders. My aim is to describe how I got this image and how different parameters affect the look and behavior of the shaders. This is by no means a comprehensive guide to MR shaders but I hope it will give you some good ideas.
The scene is composed of a sphere and a spot light, positioned to the right of the camera. Both are enclosed into a box as backdrop. Select the light and in the perspective view, choose "Look Through Selected". Position the light so that the sphere is framed by the light cone. Give the light a cone of about 30 degrees. Assign a shader of your choice to the box. I chose a checkered texture. Assign a plain Lambert to the shpere.
When you assigned the Lambert to the sphere, a Shading Group node was created. MR materials must be manually plugged in this node. If you open the Attribute Editor for the node and expand the MR section, you will notice some interesting fields in which we can plug Mental Ray shaders.