Are you on windows xp?
It should be under Filter>Render>Lighting Effects if you on a system other than xp.
Sounds like you might be.
Filter > Render > Lighting effects
CS6 Lighting Effect Filter requires a Supported GPU card and open GL enabled. If you do not has such Lighting Effect will not be listed under Filter>Render>missing lighting effect is whet you will have on XP Grayed out Window 7 when GPU not enabled