Here are the steps to add the smoke to the volume lighting.
The first step of course is to setup the typical scene with the light. The first light is the spot lamp to directly light the room. The second is for reflecting the light off shaded areas (can be point or hemi). What you should add next is an object that occupies most of the room itself, for this object will have the volume material.
For the spot lamp, you obviously should click on the ‘halo’ button and increase the ‘step’ size. The halo intensity determines how hard or soft the edge of the light beam should be.
For the object to be a volume, you have to press the ‘volume’ button. But to create a dust or smoke effect that will not cover the room, the density has to be reduced to zero. The scattering has to be to reduced to a very small size but not to zero, because without it, there would not be any volume for the light to scatter through. But to make certain parts of the volume scene, the option under the lighting should be set to ‘shadowed’ and the ‘reflection’ scale has to increase to at least ten. This determines how visible the smoke effect is.