Meshes are exported to a special .vrmesh file format. It contains all geometric information for a mesh - vertices and face topology as well as texture channels, face material IDs, smoothing groups, normals - in short, everything that is needed to render the mesh. In addition, the mesh is preprocessed and subdivided into chunks for easier access. The file also contains a simplified version of the mesh used for preview purposes in the viewports. Also, there is an option for adding a point cloud data to the file which is a simplified geometric representation of the mesh in the form of 3D disks with different levels of detail. Each level comprises disks with equal radius which is greater for levels of lower detail and smaller for the more detailed ones. When the object is rendered a point cloud geometry level is chosen depending on the distance between the object and the camera - for distant objects lower resolution point clouds are used. Thus original mesh is replaced by the simpler point cloud geometry with the appropriate level of detail allowed by distance.
It is important to realize that the mesh is in a "ready to render" format. No further modifications to the mesh are expected. You can't apply modifiers to the mesh, or animate it in any way except if you animate the position/orientation of the proxy object. If you need to make changes to the mesh, you can import it back as an Editable mesh (see the Import section below) and re-export it back to a .vrmesh file.
After you export a mesh to a .vrmesh file, you need a proxy object to represent it in the Rhino scene. To create a proxy object click the VRayProxy button from the main V-Ray toolbar. A dialog box will appear that allows you to choose the .vrmesh file to import. Finally, click in a viewport to create the actual proxy object.