hmmm... not sure about the mental ray problems. That's really wierd, cause it should render them even if you never mapped them (pretty much all default shapes render). Could be something in some setting somewhere, but other than that no idea (I don't know how to mess with the programming aspect of mental ray).

What I can offer you is advice on how to rig it. While I've never done an actual mech per-se, I have rigged other mechanical objects. The biggest one here is that, especially because you appear to have individual parts for everything, you do NOT want to either smooth or rigid bind the mech. First off, for either one of those options, it will distort the mech. Not what I'd want, on a mech. Second, if your model is seperate parts for everything, binding each individual part would be a pain (especially skin weighting it). Unfortunately, the better method isn't too much better.

The best way to rig something like a robot with individual parts is to build a skeleton like normal (well, I don't think in this case you need that many . Then, instead of binding the parts to the skeleton by skinning it, simply parent the parts to the skeleton itself; for instance, an upper arm would be parented to the shoulder joint of the skeleton, a lower leg joint is parented to the knee joint of the skeleton, and so on. The easiest way to do this is to middle-mouse drag things around in the outliner (make sure you grab the right part, and it really helps if you have everything labelled before hand). You might want a couple of constraints - things like having the foot always point downwards, perhaps, but just that general setup would be good. Here's the nice part - you only have to do about half of a symmetrical model. once you have a left or fight half of a model put into a skeleton, you can grab the first joint that diverges from the centerline (say, the first leg joint after the hip), duplicate it, and then you should be able to mirror the joint (an actual command) and move it to its proper posistion (just remember that all joints in a skeleton effect everything down the heirarchy, like normal parenting). After that's done, you can simply animate the joints like for any other skeleton - give them IK solvers and you're pretty much ready to go (although locking a couple of axes to restrict them to the direction the joints can actually go may help).
And looking at your model, driven keys are probably going to do you almost no good here. Well, maybe if you wanted to have something respond every time he took a step (like loose armor plates flapping or something) but other than that there doesn't appear to be enough 'unrelated' parts to warrant it.

Kinda hopes that helps.

Your model is looking good, although unfortunately I have no idea what its from.