Check out the forum posts for In the Beginning Part 4. They might help. But basically, Hammer, during compile will look at your lights.rad file, unless you have told it to look elsewhere by using -lights file, on the HLRAD compile command. So your Lights.rad file should be in your WorldCraft/Hammer tools file as Tlax suggested. If it is there... consider copying the contents of your valve.rad to your lights.rad....
If that doesn't work, make sure the light texture you are using is actually listed in the lights.rad (This surprised me at first, I thought that textures that looked lit in the game would be in the lights.rad.... Wrong).
If it is none of the above, then I am out of Ideas....