Is it possible to set few light sources with Bumpmapping?
Hmm, maybe... the method you described might work, but I'm not sure it'll get the angle of the highlights to correlate to the position of the bullet lights. As for creating and destroying lights with bullets, that's easy - just put the lighting sprite in a container with the bullet object. Since 'Create' and 'Destroy' actions create and destroy the whole container (see the article BROO linked) then the creation and destruction of the lighting sprite is taken care of automatically.
Definitely containers for this one, again see the article. But you never ever need to use the spread values paradigm in Construct! Not only does it make for horribly messy events, its algorithmic efficiency is appalling as well, and Construct has much better alternatives. It might take you a bit of extra effort to learn how to do it in Construct, but it is definitely worth it. For example:
+ Start of layout
-> Spread value 0 in Sprite
-> Start loop "blah" Sprite.Count times
+ On loop "blah"
+ Sprite value = loopindex("blah")
-> Actions to perform on Sprite individually
This can succinctly be rephrased in Construct as:
+ For Each Sprite
It's quicker, easier, neater, and runs a hell of a lot faster too