The bottom of the dialog changes to display the Volume Light parameters. Click Pick Light and click on the spotlight. This tells MAX that you want this particular light to be a volume light. If you do a rendering now, you are likely to see just a big blob of light that takes over the scene. This is because we haven't set up any attenuation.
Attenuation is the lessening of light over a distance.
Since there's no attenuation set up right now for this light, the light just blares all over the place. Go to the Modify panel and select the light. Locate the Attenuation section. Turn on the Show checkbox for both Near and Far , and look at the light in your scene. Now there are circles of varying colors along the length of the light.