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Or by clicking on the Light Linking Editor menu item in the Object Context Menu.

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An Example

Here's a simple example scene where we want to control the lighting. In this scene, the tank girl is selfish and wants all the lighting to herself, leaving the monkey head in the dark. There are three lights in the scene.

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In our case we want the illumination to be off. We repeat these steps for the other two lights in the scene.

Shortcut

You can also use the right click menu to link/unlink an object from a light, as well as change the illumination options. For the right click menu, the last selected object must be a RenderMan light.

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Result

Here's the result after light linking.

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