2 - Place lights and Volumetric

Let's put a projector Light

Right click>Lights>Projector Light>Spot Light. This light type and the Directional Light are currently the only ones able to generate a shadow map and therefor to cast shadows .
If you expand this newly created light, you'll see that this "Projector Light" preset will simply create a projector light projection a white Uniform with a radial mask to create the Illusion of a round light. Note that you can put anything inside a projector light (Images / videos / compositions) and create some very nice stuff with it.
Now place the Light and set it up like on the screenshot below. As you see vertical/ horizontal frustum is there to set up the angle of view of the projector (as in a camera), in simpler terms: it's width and height

Place Point Lights

Right click>Lights>Point Light. Place and set up the Point Light as showed below.
Just a hint : as "Fall off" and some other settings are the same on every lights, configure the first light and then Ctrl+D or Ctrl+drag and Drop in the tree to duplicate them.
And before the next step, let's turn Off the volumetric parameter of theses Point lights so when we'll activate them only the Projector Light will generate a volumetric light. To do so, go into the Point light Advenced parameters and....turn int off :
As you may see, every color parameters (Diffuse / Specular / Diffuse) can be set up independently. Currently we set up the light to have a diffuse light intensity of 0 but we could as well simply had dis-activated the diffuse color.

Volumetric Light

And now, just add a Volumetric Light Right click>Special Layers>Volumetric Light .
And set it up like that :
Brightness is quite an obvious parameter and Quality will drive the number of volumetric samples this effect will use.
Once created, this special layer will generate volumetric from every Lights on which this option is turned on (by default it is on every Light). This layer is placed after the geometries because Smode had to compute them for the depth buffer to be accurate when it's Volumetric light turn. Try to put this layer after or before the geometries in the tree to understand what it does.
Next: 3 - Compositing with multiple renderers

See Also: