Although Alice does have good lighting options (though it doesn't support shadows), lighting in general is a fairly complex subject. A really complete answer to your question would take the equivalent of two or three chapters of a standard text. Dick Baldwin has a couple of good tutorials on the subject, but they are far from comprehensive. You can find good tutorials on the general subject on the web - but I haven't found anything else that's Alice specific.
For your particular case, I would recommend the following:
1. Delete the default light (it is a bit difficult to move correctly) and just use the world's ambient light to control the background light intensity and color.
2. Add a single light bulb, an object to be lit and a high poly sphere to the world and move them all to the same spot, then move the light bulb up a meter or two.
3. Now you just have to experiment to get the effects you want. It's easiest to see one light at a time, so start by setting the ambient light level to zero. I'd look at the sphere first (i.e., make the more complex object's "is showing" false) and move the single bulb around, adjust it's intensity, etc.
4. In addition to the position of the bulb, you can adjust the "Seldom Used" emissive and specular highlight properties of the object. The emissive parameter, in particular, can give rather dramatic effects, especially in an otherwise dim light environment.
5. If you want more dramatic lighting, you can also add a spotlight and adjust it's parameters and position.
To give you a start, I've attached a small example world set up using this approach. But good lighting is really more of an artistic skill than a programming one, so be prepared to spend significant time moving and adjusting things to get what you want (and then obviously make the light's "is showing" parameters false).
Good luck and have fun.