If you create a spot light, then open the attribute editor (Ctrl +A).
Next, open the light effects tab and click on the black and white squares box next to light fog. (end of that row)
A cone should now appear to come from the spot light, the cone can be scaled to the size and shape you want and in the attribute editor you can edit colour and density.
If you wanted to create a light effect like the picture:
when you add the light fog click on the checkered box at the end of the density line, select ramp from the 2d texture options in the box that appears.
Now what you want to do is create a black and white ramp, black is where you want the light fog to be and white will be no fog
(You have to be careful with this its not the most its very hard to replicate reality this way- if you dont understand the second section just try to get light fog first)
but hope that helps
mumbo