Thanks for your help.
Turns out that mental ray doesn't like the type of file it is. Strange considering I'm pretty sure this is what other people use. It didn't like the 8bit RGBA tif or any of the other formats I selected from mudbox map extraction. (32bit tif and 32bit OpenEXR)
I converted the 8bit tif to a jpeg, plugged that one into the shader and it rendered. Obviously looked quite terrible but atleast I got a result this time with some displacement.
However I'm still confused to why it won't render using the other map file formats, I thought most are compatible with maya!?...
Could this be a plugin issue?...I would really like the higher quality format map extracts to work with mental ray render.