Well, there are many ways to do such lights but the easiest one I've found is well, using meshes as lights.
If you want your lights to be static, use the .3ds format, but if you want them to move and highlight zones like in the real world, use bones and the .smd format.

I dont have any 3d programs or delphi installed on the computer that I'm typing, so I'll try to guide you roughly. Feel free to post questions, as I'll try to answer them all. Open a 3D editor, create a couple of cylinders(dont forget to lower the stacks and slices or the frame rate will drop.) and scale the top of the cylinders down a little, so that it looks like the lights in your photo. Then, position them and add bones. After this process is done, export the models in smd, and then the animation files(make them highlight other areas.). Load them in Delphi, make sure that they are running smoothly, then go to the mesh's materials, set the mode for additive, and set the transperancy at your own wish. It should work perfect, as I've done the same effect two years ago...