Here's what I'd do to get that effect:
First off, making a pure black background and then trying to get the lighting effect to show up won't work.
1. So on your layer that you're drawing on, fill it with a gray color, like 128, 128, 128.
2. On the menu bar at the top, go to Filter > Render > Lighting Effects...
3. In the dialogue box that appears, you can adjust the direction, style, color, and a bunch of other things until you get the lighting effect you're looking for.
That's it!
Have fun.
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