If you're new to lighting in Maya, the best place to start is by downloading the official tutorials. "Getting Started with Maya 2008" is offered as a free ebook with available data files (see links below); for lighting, you'll want to jump ahead to page 479 (section 9, lesson 3). You'll notice that through the data files, they've already provided objects and lights to get you started. You'll learn the basics of creating such standards as directional lights, spotlights, shadows, and get a crash course on in-software cameras. Why cameras? Well, if you can't capture your well-lit masterpiece, nobody will know about it! If you're hungry for more lighting-oriented information, the chapters on global illumination and caustics are also interesting.
Once you know your way around some of the lighting tools within Maya, it's time to find your creative inspiration. Artists often do precedent studies: looking around to see what's been done before, deconstructing the results, and attempting to recreate them when it makes sense. For lighting, one of the best resources is real-life and, when that's not convenient, looking through catalogs of great photography. Even for veteran photographers, there is inspiration to be found in manuals like Itchy Animation's Lighting Tutorial (see link below). Such real-world lighting techniques can inform your Maya efforts and, potentially, make the outcome more successful.
By this point, you have a particular "look" that you're trying to achieve, and you've manipulated your Maya scene accordingly. The last step in lighting with Maya is to render your frame (or frames)---either in layers or as a flat image. Rendering is both a separate step, with its own complexities, and part of the lighting discipline. That's why lighting is a subsection of rendering in the official "Getting Started with Maya 2008" ebook. If you flip to page 442, you'll see the options that are available within Maya to output a finished image, and in subsequent pages the tutorial describes why and how each is used. Read through these pages, find the best fit for your goals, and when you're done you'll have something to show your new lighting skills!