My apologies for the problems with the exercise files. The missing DLL dialog is caused by some leftover V-Ray render elements, I've removed these and new files are being uploaded, they'll be available shortly.
The sky in the scene is generated by using an HDRI map by Peter Guthrie
as a light source. Unfortunately because these are not free we cannot redistribute them in our scene files so I have to swap them out for a sun/sky system. The same is true for the V-Ray exercise files. If you are interested in using HDRIs here are a couple of posts by Peter that you may find useful: HDRI Sky Lighting for interiors
and HDRI Lighting Workflow
. Both reference V-Ray but the same principles can be easily converted to Mental Ray.
You're right about the materials, they were converted from V-Ray and are subsequently too glossy. This has also been toned down in the new files.
Thanks for reporting these issues, if there's anything else I can help with, please let me know.