Before you start

This tutorial will explain the basics of the Vray skylight. It's a very easy way to globally light your scene.

Make sure you have basic 3D Studio Max knowledge too, I will not explain every little detail so you have to know how to use Max. For example things like the material editor, creating and manipulating objects, modifiers etc should all be familiar.

The Vray version used to create this tutorial is Vray 1.50.00. This is the version that requires the hardware lock (dongle) as a licensing system. Please do not email me with questions about this tutorial if you are not using this Vray version, since the answer to your question is most likely that you're using a different version.

Startup settings
It is important that you start the tutorial with exactly the same settings as I do. Click the screenshots to view all the startup settings. I also use the gamma 2.2 setup so change your max preferences also like in the screenshot.
These settings also use the Vray frame buffer, the adaptive DMC image sampler, no GI etc...

Create a simple scene
Simply create a large cylinder with some teapots on top. I also created a max camera with a lens of 50mm. Make a vray material with a diffuse of RGB=220 and assign it to the cylinder (floor) and all teapots. Note that I don't use RGB=255, so no pure white. In real life, no material is pure white, so don't do it in 3D either. using very light materials will result in wrong looking GI lighting, since these materials will bounce off too much light.
If you render now, it will be black because there are no lights in the scene and we turned of the default max light in the vray global switches.

Turn on the skylight
In the vray environment rollout, turn on the skylight, and give it a light blue color.
Render again, still black... The skylight is GI light, so we need to enable GI for it to cast any light.
Open the Vray indirect illumination (GI) rollout and turn GI on. Adjust the settings like in the screenshot.
As you can see, I use 0.8 for both primary and secondary bounce multiplier. This means that a maximum of 80% of the light hitting a surface will be able to bounce off (if the surface is pure white). If you never use too bright materials (see previous step) and use these GI multiplier setting, you will never get fake looking GI lighting. It's a subtle simple trick but it does make a difference!
Now if we render again, you will see the teapots. The skylight is an environment light, which means it casts light uniformly from all directions. This results in very soft shadowing and even lighting on all surfaces.

Adjusting the skylight
In the environment rollout, change the multiplier next to the skylight color to 1.5 and render again. The scene brightens up of course...
Also try some different skylight colors to see the effect on the rendering.

Add a 'sun'
To make the lighting a bit more interesting, we will add a light to the scene. I used a directional light with vrayshadows turned on. Make sure the light is bigger than your scene (check screenshot to see the light settings and placement I used).
When you render, the scene is way to bright because now we have a skylight of 1.5 and a directional of 1.0. Together this overexposes the scene...
Change the skylight multiplier to 0.3 and render again. Better already!

Lighting c olor
Change the directional light color to something yellowish, and the skylight to a bit more saturated blue. This will add a subtle change to the coloring of the direct and indirect lighting.
Try some combinations of more and less saturated colors for light and sky to find a satisfying result.

Balance sun vs sky
The sun would give a lot more contrast in real life. To achieve this, you have to adjust the balance between skylight multiplier and directional light multiplier. For the next image I used 0.15 for the skylight, and 1.15 for the directional light. As you can see this gives some more contrast.

Conclusion
With a few simple clicks, you can create an good looking lighting solution. It renders fast, can be tweaked in every aspect and you can render any view without having to rotate your lights. Even when viewed from the back, the image still looks good.