In the Render Globals, right at the bottom (of mental ray options) there is a tab saying environment (this is for 2008 version anyway) in there you'll find 2 buttons, one to create 'physical sun and sky' and the other to create 'image based lighting', click on that one, in the attr editor you will get options to plug in your desired image and such.

Thats a really quick idea of what you need to look into, hope it helps.

Chris

If you need more info keep the questions rollin lol