Please make just a simple cube or sphere to test lighting first. It doesn't matter what the model is as long as it has normals. There should be plenty of examples within GLScene right?

Test it without textures (and do use GLScene itself to create the sphere object at start, not modelling tool), and please show which values you are using for lights and materials? (Color values, light strenght if there is)

As much as i know of light strength, they propably go from 0 to 1. Set all r,g,b values to 0.1 or 0 to make it very dark. Increase 1 value at the time to 1.0 and you should see the effect of each.
Oh, change these values in GLScene mainly, not in 3DS Max.