hello,
Can anyone explain me about Z depth mist.

3D Studio Max 2009 to 2013 64-bit,
Intel G35 chipset, Core 2 Quad Q6600 @ 2.4GHz,
4 GB DDR2 RAM,
EVGA Geforce GTX 550 Ti 2 GB (Driver 295.73),
Windows 7 Ultimate 64-bit,
INDIA.

3dsmax Reflection and Refraction Tutorial - http://area.autodesk.com/tutorials/3dsmax_reflection_and_refraction_tutorial

It is a method of faking fog in a 3D scene. It is usually found in Compositing programs, and so is a post render effect.
It blends the rendered image with a fog colour, the amount corresponding to the Z-Depth of each pixel. So near objects have very little fog and far objects have a lot of fog.
Z-Depth can be a render element or stored in a G-Buffer. It is an image rendered in greyscale, the tone is applied by the distance of the geometry to the camera. Near things are white or light grey, far objects are darker or black.

where can i find it in 3ds max and can you explain me how it works if u don’t mind.

3D Studio Max 2009 to 2013 64-bit,
Intel G35 chipset, Core 2 Quad Q6600 @ 2.4GHz,
4 GB DDR2 RAM,
EVGA Geforce GTX 550 Ti 2 GB (Driver 295.73),
Windows 7 Ultimate 64-bit,
INDIA.

3dsmax Reflection and Refraction Tutorial - http://area.autodesk.com/tutorials/3dsmax_reflection_and_refraction_tutorial

where can i find it in 3ds max

You won’t find it in Max, it’s a post render effect found in Compositors. But it’s produced from render elements from Max, an ordinary render plus a Z-depth pass. Read the Help section about Render Elements to learn how to render Z-depth.

what Compositors can you specify me.

3D Studio Max 2009 to 2013 64-bit,
Intel G35 chipset, Core 2 Quad Q6600 @ 2.4GHz,
4 GB DDR2 RAM,
EVGA Geforce GTX 550 Ti 2 GB (Driver 295.73),
Windows 7 Ultimate 64-bit,
INDIA.

3dsmax Reflection and Refraction Tutorial - http://area.autodesk.com/tutorials/3dsmax_reflection_and_refraction_tutorial

They are computer programs or sometimes custom built systems for compositing video, that is making a an image by merging different layers of video, graphics and effects.
It’s like Photoshop, but with moving images.
Popular programs are Combustion, Fusion, After Effects, Nuke, Shake Etc…