In mental ray, a shader is a function that calculates light effects. There can be shaders for lights, cameras (lens shaders), materials, shadows, and so on.
In 3ds Max, the mental ray translator provides the functionality of light and camera shaders. Material shaders correspond to 3ds Max materials.
A number of shaders are provided with 3ds Max. See mental ray Shaders, mental ray Connection Rollout, and mental ray Materials.
The mental ray manual, Programming mental ray, describes how to write custom shaders.