“The Lights of Arlathan will illuminate the scryer's path. The archons possessed them, but they were misused, befouled and lost, like so much the Imperium touched. Some were saved, carried by fugitives from the elven city. Their sorrow awoke the Stone, and her children sheltered them.” ―Eleni Zinovia
Upon entering the thaig, Finn initiates a dialogue in which he reveals that the Lights are magically hidden from sight for everyone except the inheritors of their original masters, such as Ariane. In order to locate the Lights, he needs a vial of her blood as a spell component.
As you proceed further in the thaig, follow a trail of magic vortices that mark the way to the Lights. Place a party member in the vortex and watch for moving lights. If you are standing in the right vortex, the lights will move in one direction and disappear at the same spot where the Light of Arlathan is hidden. Have Finn cast the spell using Ariane's blood to make the Light visible. Each time a lantern is picked up, Ancient Elven Guardians (either two lieutenants or one boss, various specializations) appear and attack the party. There are four Lights to collect altogether.