When the player shoot, I want to create a point light on the hit point so I can have something like bullet impact light effect.

Here is the code that I tried:

D3DLIGHT9 light;
light.Type = D3DLIGHT_POINT;
light.Diffuse = D3DXCOLOR(255.0, 255.0, 0.0f, 255.0f);
light.Position = hitPoint;
light.Range = 100.0f;
light.Attenuation0 = 50.0f; 
light.Attenuation1 = 50.0f;  
light.Attenuation2 = 0.0f;    
device->SetLight(2, &light);
device->LightEnable(2, TRUE);

I'm using Pixel Shader for terrain texture splatting, now I want to be able to use D3DLIGHT9 in the light class, how do I do that?

So that means If I'm using Shaders, I can't use device->SetLight()?

I think that will be a problem, since I'm working on a Game Engine that should handle everything that the game need, that way I can't use a light class, I will have to write pixel shaders for lighting for each game, am I right?

That could make things much harder when it come to mission editor since I will have to write shaders instead of using lighting tools (In the mission editor).

What's your suggestions?

So that means If I'm using Shaders, I can't use device->SetLight()?

I think that will be a problem, since I'm working on a Game Engine that should handle everything that the game need, that way I can't use a light class, I will have to write pixel shaders for lighting for each game, am I right?

That could make things much harder when it come to mission editor since I will have to write shaders instead of using lighting tools (In the mission editor).

What's your suggestions?

Do I have to edit the Pixel Shader file for lighting in every game? I mean how do I position the light according to each game scene?

Another problem is that the shader files are much easier to change than binary files, while in the fixed function, it's much harder to change the binary, so that could be a problem since others can easily modify the scene if I'm relaying on shader files by simply changing the shader files.

Do I have to edit the Pixel Shader file for lighting in every game? I mean how do I position the light according to each game scene?

Another problem is that the shader files are much easier to change than binary files, while in the fixed function, it's much harder to change the binary, so that could be a problem since others can easily modify the scene if I'm relaying on shader files by simply changing the shader files.

You don't even need to load them from file. For example use D3DXAssembleShader function, and write shader source directly in your code

std::string shaderSource =
        "ps_1_4\n              " \
        "// Sample textures\n  " \
        "texld r0, t0\n           " \
        "texld r1, t1\n           " \
        "texld r2, t2\n           " \
        "texld r3, t3\n           " \
        "texld r4, t4\n           " \
        "texld r5, t5\n           " \
        "mul r1, r1, r0.x\n       " \
        "lrp r2, r0.y, r2, r1\n" \
        "lrp r3, r0.z, r3, r2\n" \
        "lrp r0, r0.w, r4, r3\n" \
        "mul r0, r5, r0\n      ";

    hr = D3DXAssembleShader(shaderSource.c_str(), shaderSource.size(), NULL, NULL, 0, &source, NULL);

As unbird said there is no point in protecting your shader source.

You could even precompile shader and save "source" (ID3DXBuffer) in your binary file and then on client machine just load with CreatePixel/VertexShader().

Although i have not try that but it should work.