I cant tell you exactly the procedure in max2010 sorry..
but I can tell you basically what you want to do though :
What you need is to have have multiple lights placed around your model in the max, then move you camera around the model to make sure that it looks how you want it to...
The idea is to get an even but subtle lighting, you dont want to be applying really dark shadows as it will not look right in a game when its lit.
Use directional lighting, rather than point or spot lighting. set multiple directional lights, I usually use 3-4 depending on the look of the model and exactly what it is. Space the lights evenly around your model and set their direction to be pointing to the model.
What you want to avoid, is obvious shadows that are cast, for example, like if a person's arm is over their chest, you dont want the shadow to be cast.(thats part of the reason the da-vinci pose is used when modelling bipeds, the rest is that it makes mesh deformation easier to handle around places like under the arms and between the legs)
The look you are going for is just, for example, to have a slightly darker skin tone around the neck and under the chin, the armpits should be slightly darker and the top of the shoulder slightly lighter, folds of cloth should not show actual solid shadows, but should be shaded, so that their depth easily apparent.
It will take you awhile playing with light settings and positions to get it to look how you like.
For specific MAX instruction, im sure you should be able to piece together what ive said using the MAX help files, they are quite good.
If it ain't broke.... DONT FIX IT !!!