This is my general scene setup. For this shot I switched on an IBL light for general illumination and switched off atmosphere. When rendering with atmosphere, I would not use IBL or infinite lights, unless you are prepared for really long render times. Even if you have the atmosphere strength for a light turned down to zero, it still does volume sampling for that light.

A backdrop or background object is essential for the volume to show up against. I should have set the backdrop further back to prevent the spotlight beam falling on it, but that's just where it happened to be in my laboratory! Don't set it too far back... this will just increase the render time unnecessarily: in the atmosphere node you choose the distance between volume samples along each raytrace, and this sampling continues beyond the spotlight beam until the raytrace hits the backdrop.

Coming up in a bit... settings for the spotlight and atmosphere node.

"If I were a shadow, I know I wouldn't like to be half of what I should be."
Mr Otsuka, the old black tomcat in Kafka on the Shore (Haruki Murakami)