Well, first of all, you have some really bad geometry happening there. You need to clean up your model. You have a lot of extra edges which are creating Triangles and Ngons. Ideally you want all Quads. This is probably not the reason for the problem you are experiencing, but you really should start practicing good modeling habits. A clean model is going to be easier to work with, accept smoothing modifiers better and render better than a sloppy model with bad geometry. Also, models with bad geometry can cause Max to become unstable and crash.
Now, where is the render? All I see are a couple of screenshots. You mentioned something about objects becoming see through after rendering?