You have to provide more informations: Which action did you apply to the lamp? Are the other lights entities on their own, or are the the lights which you can choose from the objects list?

http://www.puppenheim.org/
http://www.wuerfels-welt.de
Old Game Tutorial: http://www.puppenheim.org/MITutorial.zip
Free Game Editor: http://puppenheim.org/AlienalsWeihnachtsmann.zip
http://www.puppenheim.org/blender_starting_main_settings.txt