1. First, I will explain what a Boolean does in brief.  Booleans are modeling tools that let you add, subtract, and intersect space within 2 objects.  They are very effective for modeling out space within objects, such as a glass of water.  We could have two glass objects (Object B is smaller that Object A), and have Object B cut out the inside of Object A giving us an open space in our object. 

Now to the tutorial :-)

Create a primitive Cone:

The cone that has appeared in our main view port will be the outside of our simple lamp.  We are going to use Booleans to cut out the inside of it.

2. In the attributes palette, set up your cone as follows:

3. Now that we have the basic shape for the outside of the lamp, lets cut out the inside of it.  Click the Cone Object in the Objects Palette.  Copy and paste this object (Ctrl + C, Ctrl + V):

I have renamed my objects to make it easier to see which is which.

4. Because the inside lamp is going to cut out the outside object, we need to make a few modifications to it.  Set it up as follows in the Attributes palette:

5. Now the inside cone should intersect with all of the space we want to cut out.  Time to add a Boolean.  Go to Objects > Modeling > Boolean:

6. By default, in your Boolean, A subtracts B.  This means that the object on top will subtract all of the space from the object on bottom.  Because of this, we want to drag the outside of our lamp on top of the inside lamp in the Boolean in our objects Palette:

7. Congrats! You just used a Boolean modeling tool!  Now we need to create a base and stand for the lamp.  These are just primitive objects and can be edited however you want.  I used a cylinder for the stand, and a cube for the base:

You can press F5 to get to the 4 port view.

After a few modifications with lighting and materials, here is what we can create!

Good Luck!