LunarMax is a prison built by MIB located on Earth's Moon. It is designed to hold alien prisoners, and where Boris the Animal is imprisoned.
Boris was chained up like an animal while he spent the next forty years in LunarMax Prison but he escaped with assistance from Lily the Poison, and when he travelled back in time he also wished to avoid from been thrown in prison in the first place by Agent K.
At some point it was immediately built after the Moon Landing in 1969. The prison was completely inescapable but Boris got lucky with assistance from Lily.