You do it the same way you animate anything in MAX.
Click the animate button, go to the frame you want the light to turn off at and then bring the light levels down to 0.
Do the same for turning the lights on but take the light levels up to 255.
If you want an instant on light like the running lights on the Enterprise leave only 1 frame between the keyframes.
i.e.
frame 1 light levels are at 0
frame 2 light levels are at 255
Easy enough?