Hi,
There are two methods, miniature bulbs (grain-of-wheat or grain-of-rice), which can be run easily on either a 12 - 14V AC or DC supply. Alternatively, you can use LEDs (light-emitting diodes).
Where the bulb method is pretty easy to set up, there are certain disadvantages, for example, bulbs will run hot and can damage plastic buildings, or at worse, start a fire. (Yes, I have seen this! Not on my layout though!) There is another disadvantage, light "bleed through", where you get glowing walls.
LEDs run cool, and last much longer. They do require more care in installing.
They can only be connected one way, and will require a series resistor, (unless they are 12v types), as well as a regulated power supply.
For the regulated power supply, you can either purchase one, or build your own. I chose the latter route, and you can see the results of my labours
here. (Scroll down!)
For more info, and very good advice, I would recommend joining the
New Railway Modellers Forum. It is free.
In answer to your second question, yes. You will (probably) need a second PSU though.
HTH,
Don