Create > Volume primitives
 
 
 

You can use Volume Primitives in conjunction with lights and Volume Fog to produce foggy atmospheric volume effects. For information on Volume Fog, see Volume Fog.

TipWhen rendering shadow maps with volumes (with mental ray), increase the volume samples settings on the volume shape. Also try turning on depth jittering and tuning up mental ray shadow map settings, such as Softness and Samples, on light sources.