You're almost there.
Assuming you are using VW 2009 (or 2008)...
Open the visualization palette.
If there is only one lighting instrument, it will be the only one listed under the Light tab in that palette. (If you have more than one instrument, enter a channel number and/or a purpose in the OIP.)
Click the On button.
Render with Final Quality Renderworks (Make sure there is some geometry for the light to hit)
For added fun, you want to see the beam, right click on the instrument > select Edit Light...
The Properties Dialog box will open. (which has the same name, but is different than selecting the "Properties..." option.)
Select Lit Fog. It helps if the distance fall off is set to something other than "None".
You will have to do this for every light that you want to have a visible beam.
hth
michaelk