Then switch to rendering menu by pressing F6. Go to Render->Batch Render option box. Set Render Threads and click Batch render. By default your rendering location will be in your Maya project directory inside the images folder.
After rendering you have to import the sequence to composting software. You can use Autodesk Composite which comes with Maya, then Adobe After Effects. In composite you can modify the final render(adding depth, adjusting color corrections etc). Save your animation. Then import this sequence to after effects and add some special effects. When importing choose the first file of the sequence. Now you can save your animation in a single avi or mov file.