A typical Z-Wave installation has:
* Z-wave modules for your lamps, either outlet mounted, or by replacing the wall switch.
* a Z-Wave master controller, such as an ACT ZTH000
* a Z-Wave computer interface. such as the Intermatic HA22
These are examples, you'll find more of them on home automation websites. If you're in the US, http://www.smarthome.com
is a good website for this. http://shop.micasaverde.com/
also provides a complete set of z-wave devices. Again, this is all in the wiki.
Some devices, like Mi Casa Verde's z-wave USB stick combine the master controller and the computer interface, however it seems that those devices have recently been recalled due to buggy firmware, however for simple lighting control, it should be fine.