I don't know about 11.5, but in 2008 the haze is controlled like so:
Create a Render Background, Apply it to the same layer that your lights are on.
I find the following settings useful for rendering haze:
Render Background:
Background: None
Weather: Lit Fog
options: Color Grey, Density 0.00007, receive shadows, Type isotropic, Quality medium, no density variation.
You can experiment from there but I find the above settings to produce satisfying renders in a timely fashion. Oh, I usually use Fast Renderworks with Shadows to create the render, and make sure that all of your layers are set to no ambiant light, or perhaps one layer with 10%.
Select the lights, then in the object info pallete (some versions, I can't remember 11.5 too well..) or the visualization pallete (you might not have one yet) or by right clicking the light and selecting Edit Light - check the following settings:
There's a box for lit fog, this needs to be checked. If you are using spotlight instruments, you will have to create focus points and focus your lights before you can turn them on. Once this is done, Select Light On or off etc. There is also a dimmer function and color function. It all should be right there in the object info pallete after you focus the light. If not, select the device and right click>edit light.
I think in VW11.5 you still have to insert gobo projectors into the light in order to have a template. You will also have to import the gobo texture and apply it - thats a whole other complication.