yes, optical FX (like making objects glow, is what I assume you wanted) works in MR. Technically, pretty muc whatever you do should work in both mental ray and the software renderer (yes, there are a few instances where the way things are handled can generate large differences, but this shouldn't be one of them).

As for the rest of it, it'd help to know exactly what effect you were going for. Although personally I'd maybe make the lampshade either partially transparent, or translucent. Try that to start with, perhaps.