Check out F1, and do a search for "Light Linking".
By default, all objects created in your scene are linked to every light, and that means that all lights in your scene will illuminate all of your objects.
Using the Light Linking technique will allow you to link objects with lights so as to only light certain objects with certain lights, and so on...
Also keep in mind that PaintFX is a post-process, so they will render last, over-top of your scene, kindof like a glow does.
In Maya 5, you now have the option of converting your strokes to polys, and that allows you to treat your PFX like any other object then.
If you are not on Maya 5, then in your brush attributes, there is a checkbox that says "Use Real Lighing" or something like that that may halp you when you are linking lightsets
Israel "Izzy" Long
Motion and Title Design for Broadcast-Film-DS