Do you mean crepuscular rays (aka. "God rays") coming out the top and bottom like a cone, or do you mean making the lamp shade material allow light to glow through the shade itself?
For rays, you'll need to enable atmospheric media as well as photo mapping. There's a tutorial in the manual you can find here:
http://www.povray.org/documentation/view/3.6.1/101/
The effect does take a good bit of tweaking and it takes a *long* time to render--hours or days--but done right it looks spectacular.
Glowing is easier. You'll want to use the "filter" or "transmit" keyword on your material. Filter indicates color-filtered light moving through a substance, like light moving through a stained glass window. Transmit is non-filtered light, like light moving through fine netting. Something like a lampshade would be a combination of the two.