This can be done in a few ways. The easiest and the most tweak-friendly way is to do your glows in post using Photoshop or any other editor. That's how I usually do mine. It can also be done using mental ray's lens shaders (Glow(lume)) with any material that has self illumination. This is also a post effect, but inside MAX. If, however, the glow has to actually illuminate the surroundings, it takes the most rendertime-expensive way: Taking an architectural material, giving it a generous luminance value and bumping up final gather quality and FG light bounces to a desired value.
There's also a similar post technique in standard scanline renderer, where you add a post blur filter and set it to add additional blur on top of those areas which have the highest luminance values.