I don't think you can instance lights onto particles just like that (don't know in 6.x, maybe) But there are a couple of scripts on Highend3d that may help though.

The mh_particleLights.mel v0.2 and jmspr.mel Never tried them myself but I've seen the jmspr script work, it actually creates motionpaths for each particle and assigns the lights to the paths.

Hope this helps