This is an issue that we recently discovered. When final gathering is enabled, mental ray writes temporary files (such as mrmap0_tmp.a08740) to the Softimage installation folder:
C:\Program Files\Autodesk\Softimage 2012\Application\bin
To workaround this issue, either Run As Administrator (on Vista and Windows 7), or make sure that XSI.exe and xsibatch.exe have write permissions in the Application\bin folder.
In Maya 2012, the file is written in a project folder.