a relay is used to turn on / off lights, isn't it?
Often a relay is a good choice yes.
And if I'm not wrong I can also check if the relay is turned on or off.
Use a double-pole relay and use the spare pole to read the relay status, or keep a variable in RAM that tells you what the current state is.
Where can I found an example code about it?
DigitalWrite (relayPin, HIGH); should about do it.
how can I control the power of the light to make them more ligher or less?
I assume we're talking AC mains. Normally a Triac can be used to adjust the brightness. It can also be used to turn on/off the light so in this case it's a better choice than a relay.
However, a normal triac is not isolated from the mains (that's bad) but you can get opto-isolated versions that are or just use an opto-coupler.
I can use relay but I don't understand if it's a standard eletronic component or if I need to build one like this:
You need to do as the PDF says or something equivalent. But that's not "building a relay", it's just controlling one.
How can I develop and manage them? What do I need to do that (the elettronic parts). Are there some "already made" (something that is developed for arduino) parts to use?
You need to develop a "network" of some kind. Given the number of times we get asked this I'm surprised nobody is ever interested in posts about new networks :), maybe there's already too many around.
Rob