Does that mean that I have to create light shader in every shader file to make the mesh get light effect? I'm confused.

device->SetPixelShader() only accept one shader file, how do I set 2 shaders?

First you draw your objects once with one shader:

// activates shader 1
device->SetPixelShader(PixelShader1); // one that apply diffuse texture
Object.Draw();

Then you draw it again with other pixel shadr but enable alpha blending, for example it could be ADD mode:

// activates shader 2 ( 1 one is now "disabled")
device->SetPixelShader(PixelShader2); // one that does lightning
device->SetRenderState( d3drs_alphablendenable, true)
device->SetRenderState( d3drs_srcblend, one)
device->SetRenderState( d3drs_destblend, one)
Object.Draw();

So it blends over what is rendered before it. Get it?

Or you could do all in one shader (diffuse + lighning), but that is your choice.

Have you ever worked in Photoshop with different layers and blend them?

If so, it is the similar thing.

@belfegor: That means I will have to draw most meshes twice? That will not be a good idea for performance, drawing everything twice?

Yes you have to draw twice and maybe even more for other effects. Note that this isn't necessary the bad thing at all, most games do it this way.

There is also some other techniques used to minimize draw call count but have other disadvantages. Search forum for "Light pre-pass" and "Deferred rendering".

You have to choose what best suit your game/scene.

Any examples for point and spot lights using shader?

I want to be able to set the light by giving its position and color to the Shader, I mean (example):

effect->SetPosition(...); // Light position
effect->SetColor(...);   // Light color
// etc...

Look here for DX9 demos

This one has all 3 light types.

I notice when I do that:

// activates shader 2 ( 1 one is now "disabled")
device->SetPixelShader(PixelShader2); // one that does lightning
device->SetRenderState( d3drs_alphablendenable, true)
device->SetRenderState( d3drs_srcblend, one)
device->SetRenderState( d3drs_destblend, one)
Object.Draw();

I get ZFighting.