assign the dgs_material_photon Shader from the Mental Ray
Custom-Shader-Tab to the mental ray - PHOTON SHADER NODE!

[If the Mental Ray Custom-Shader-Tab does not appear ...]
Create an Environment-Variable called
MAYA_MRFM_SHOW_CUSTOM_SHADERS
and set this on to 1 !
or...
open a DOS-Prompt and type :
SET MAYA_MRFM_SHOW_CUSTOM_SHADERS=1
(Maybe you'll have to restart MAYA)