I got Bryce 4. When I try, even with the presets, to create a volumetric light, they aren't or the light changes colour but doesn't actually be volumetric. Is the little volumetric check in the little triangle menu next to the light image in the edit menu? :)

Attached Link: http://www.bryceworks.com/b31gall/trees.html

If I understand you correctly - that just gives the Light Object itself a volumetric texture. If you want to get a Volumetric light "beam" you have to shine it through the Sky Lab Volumetric World or through a primitive with a Volume texture surrounding the light/camera/scene. The URL above shows an old Bryce 3.1 image thats show light beams in a VWorld. HTH- Dan

Attached Link: http://www.brycetech.com/tutor/bryce/stream1.html

Try this tut

Another possibility is to create a spotlight, set it to volumetric light, and then stretch the spotlight object itself so that it covers the whole of the volume you want the beam to occupy. This is less render-intensive than using volumetric world.