I dont know how to save the ligtmap either..

But you can make lights. This is how its done in the tutorial...Create a plane in max, place it where you want (just about half an inch below the celling so there are not overlapping surfaces) and give it the material of example_tutorial_lights_red! (the red can be switched with blue, and the ! gives it no colision geomitry). You might want to edit the apperance with an unrap uvw map. This will make light when you run radiosity (there is a way to make your own lights instead of using the ones from the tutorial, but i dont know how, i think you create some shader)