In KeyShot, physical lights are designed as materials that may be applied to parts. Any geometry can be turned into a light source. You can either import new geometry, use existing geometry or add a primitive (Edit > Add Geometry…). Light sources are labeled in the Project Window > Scene Tree by a light bulb icon 
next to the part name.
Light Source Material Types
Light manager
The Light Manager gives you an overview of all the light materials in the scene. It can be toggled from the 
Light Manager button in the ribbon, from Window > Light Manager in the main menu or via the hotkey Shift L.
Learn more about the light manager here.