Also, if you're adding a light (like a spot light) to a scene, be sure to check off "Keep light when scene changes". If you're anything like me, you'll want to mess around with a few different scenes, and it'll drive you crazy when the spot light keeps disappearing.
You need to turn them on in photoview. Under the light property manager there is a tab to turn them on.
http://help.solidworks.com/2011/English/SolidWorks/sldworks/AllContent/SolidWorks/Core/Display/Lights/Directional_Light_PM.htm?id=9dbc2b2e8ca94a97ba31c0472aaa0b3b#Pg0