How do you get lamps and other lights to work? I can't seem to connect any wires to them. There are a couple that came on as soon as I put them down but others don't, and one time I had one that was on suddenly turn off on me. I don't get how these things are supposed to work.

They just need to be near a live wire so run a cable nearby and they will light up.

I see. Btw is there any way to run a wire inside a building? Like if I make a shack that is walled all around and a door at the front. Is there a way to get a power line in there or do I have to have a window or some other opening for the wire to go through?

You need to put a power conduit in a building a run a wire to it (or space them around the outside). The conduit will power everything in a few foot radius. You can link multiple conduits together.

Look in the power section and there are the large towers, small tower and three of the (i'm not sure what they are called at the moment.....i'll go with conduit?) conduits, one for a ceiling that hangs down and two that face left or right.

Basically you need to run the wire through a series of conduits from your generators to the area you want lit up.

I use walls or roofs that have holes in the corners to run my wires into my buildings.

The conduits are in Power > Connectors and Switches.