HI, try this:

select first light,

if it is INFINITE light then go to its PROPERTIES tab and change light's type to SPOT,

now go to MENU->OBJECT->CHANGE PARENT (or from PROPERTIES tab select SET PARENT button which will appear when you change the light's type)

select camera you want as a parent - and ok

change back light to its original type.

Follow above steps for all lights you want to follow your camera - should work.