Candles are lit after sundown so that it is considered a new date (on the Jewish calendar a day goes from sundown to sundown). It is common to place the lit menorah near a window so people walking by can enjoy the light of the flame.
Before the shamash candle (the candle that lights all other candles) is lit (this is different in some denominations, this is an Orthodox view) there are three blessing that are said the first night and two blessing that are said the other nights.
First Blessing:Second Blessing:
Blessed are you, Lord our God, King of the universe, who has wrought
miracles for our forefathers, in those days at this season.
Third Blessing: (only said the first night of Hanukkah)
Blessed are you, Lord our God, King of the universe, Who has kept us
alive, sustained us, and brought us to this season.(1)
On the first night of Hanukkah a candle is placed at the far right end of the menorah. One reason given for this is the Hebrew language is read from right to left, the opposite of English. There is also a candle placed in the shamash position of the menorah. After the blessings are said the shamash candle is lit and then on the first night the candle that has been placed all the way to the right is then lit. On each subsequent night, a new candle is added to the immediate left of the candle that was lit the previous night. The newest candle is always lit first and then the one to its right, and this is continued all the way down the line of the menorah until the last candle that is lit is the one that was lit the first night.
As the candles are being lit is customary to look at the light they produce and thank God for His wonders and salvation.
Jesus said "I am the light of the world. Whoever follows me will never walk in darkness, but will have the light of life" (John 8:12).
1). The Complete ArtScroll Siddur Published by Mesorah Publications, ltd p.784.