I don't know what you mean with 'use the same shader'. Is it a library material in the material editor?
In any case, any MaxScript that's left in 3DS's STARTUP folder is loaded and executed (or in MaxScript terms, 'evaluated') every time you start 3DS Max. So every time you boot 3DS, the program would load all the scripts in that folder and execute them. If you can code a script to setup the scene shader in the specific way you want and then place this script in STARTUP, you're golden.
MaxScript is awesome. If 3DS is your major tool of choice (or your company's, or team's), you'd be in a very good position to learn all about this script system: Autodesk - Official MaxScript Reference