There is nothing wrong with buying light sets.  I used to buy lots of different light sets. And while I can make my own now, I still buy some.

The images you have linked to are volumetric lights. Advanced stuff.  But here is a tutorial on how to create it:

http://www.renderosity.com/mod/tutorial/index.php?tutorial_id=57

I used the tutorial to make the lights in this image, but I spent time playing with the dials.

http://www.renderosity.com/mod/gallery/index.php?image_id=1728338

"It is good to see ourselves as others see us. Try as we may, we are never
able to know ourselves fully as we are, especially the evil side of us.
This we can do only if we are not angry with our critics but will take in good
heart whatever they might have to say." - Ghandi