A build light is rather a new (?) thing teams do to indicate their software build/test status. It has become very common in Agile teams. I did one for our project although not entirely Agile but it indicates the status of our builds being made in our in-house build server.
Read more about it in wikipedia: http://en.wikipedia.org/wiki/Build_light_indicator
I purchased the light from http://www.delcomproducts.com which sells them very expensive! A USB RGY LED light (http://www.delcomproducts.com/productdetails.asp?productnum=904007) costed me (our project) around 120 AUD to reach Sydney from US! Quite an expensive light!
If you are into electronics you should be able to make one easily I suppose. I am not really a hardware person and also have no time for it.
Anyway the light arrived quickly with no documents attached but everything can be found online. In Windows there is a command line application “USBCMDAP.exe” that can quickly turn it on:
USBCMDAP.exe 0 0 101 12 1 0 #green on
USBCMDAP.exe 0 0 101 12 2 0 #red on
USBCMDAP.exe 0 0 101 12 0 3 # all off
Now all you need to do is to read the status of your build/test/project/whatever and turn this on/off accordingly.
There are drivers for different OSes and hardware information in their website if you want to get more serious.
If you found a similar light but cheaper (together with software) then let me know!