In mentioned image "Final Image, with level adjustments, z-fog, and painted volume lights"
it was archived in post-production stage (PS) as for stills it's probably the easiest & quickest way of doing it.
In case of animation, it usually worth of getting that effect directly from renderer. I would suggest you to check the official Chaos Group documentation of V-Ray for 3ds Max
of the VRayEnvironmentFog
feature. You might find useful also the following "Volumetric light
" tutorial (there are many others covering that topic very well).
Hope that helps.