To create mental ray shadow maps

User Guide > Rendering and Render Setup > Lighting > mental ray for Maya Lighting > Cast shadows >

For Maya Spot Lights, Directional Lights, and Point Lights, there is a Shadows subsection in the mental ray section of the light’s Attribute Editor. You can select the desired shadow map from the Shadow Map Format drop-down box so that mental ray generates shadow maps.

Notemental ray does not handle shadow maps on scaled light sources very well. Proportional scaling for the light should be used instead.