This can actually be done rather simply without a script. I'm sure there are tutorials for it somewhere around in the tutorials board.
The effect can be done with custom fogs and picture effects. For simpler lights or shadows that follow around you, you can do this very easily with a simple gradient picture. Just find or make a glowing gradient ball like
this, and use the show picture command in a parallel process event for where you want the light to be. Or, if you want it so that the light follows you around, you can set up a parallel process common event to check the player's location via two variables (check the control variables command, look at player's screen x/y) and move the picture to those coordinates.
For more detailed shading, pretty much what you do is you take a screenshot of the entire map that you want to play with, and copy that over to your favorite image editing program (anything that uses multiple layers, like GIMP or Photoshop). Create a transparent layer over top of it, and use the gradient tool to make the effects you want in specific locations. Rays that come from windows, glows from some flares on the ground, the light of a lamp on a desk, use your imagination. When you've got all the effects that you want, you then simply remove the first layer (the screenshot layer) so that the image is transparent, and you save it to your game's fog folder. After that, all you have to do is put the fog onto the map you want, and you've got instant shading effects.
If you'll pardon me using examples from my own game here: