Just copy all files and run the max. You'll see the VRay auth window - just run keygen
To install VRay manually, copy the files to the following folders:
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3DSMAX 5.X
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VRay50.dll - in MAX root folder
VRender50.dlr - in MAX plugins folder
libmmd.dll - in MAX root folder (if not already there)
vraydummy.max - (Advanced version only) in MAX root folder
VRaySpawner50.exe - (Advanced version only) in MAX root folder
DRWizard50.exe - (Adavnced version only) in MAX root folder
VRayNet50.dlu - (Adavnced version only) in MAX plugins folder
Bake3D - (optional) in MAX plugins folder
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3DSMAX 4.X
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VRay40.dll - in MAX root folder
VRender40.dlr - in MAX plugins folder
libmmd.dll - in MAX root folder (if not already there)
vraydummy.max - (Advanced version only) in MAX root folder
VRaySpawner40.exe - (Advanced version only) in MAX root folder
DRWizard40.exe - (Adavnced version only) in MAX root folder
VRayNet40.dlu - (Adavnced version only) in MAX plugins folder
Bake3D - (optional) in MAX plugins folder
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3DSMAX 3.X
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VRay31.dll - in MAX root folder
VRender31.dlr - in MAX plugins folder
libmmd.dll - in MAX root folder
Bake3D - (optional) in MAX plugins folder