You have to add the selected objects to the light's "Associated Models" list. I wrote a script available on XSINet Called "Light_Associate" that does this and behaves just like in SI3D (not to be confused by a similar script called "Associate_Light" also on XSINet).
Matt
Matt Lind
Animator / Technical Director
Softimage certified instructor:
Softimage|3D
Softimage|XSI
speye_21@hotmail.com