You could fake this with sprites and a dynamic spotlight with stencil shadows.

Simply make a dynamic light and set my.spotlight=on and my.cast=on
then make sure you have shadow_stencil=on;

then from you light object shoot a line of sprites going out and getting larger in the direction of the light beam, then destroy the sprites if they hit an object..

If you really need a perfect dynamic light volume, you would have to use render-to-texture and shadow mapping, and probably some sort of volume texture.