You can do something like this but not as elegantly as a 3D program.
The trick is to set the adjustment layer switch for the light you wish to have some form of linking. The next part of it is to place the 3D layers below this light. This light will only effect those layers below now and none of the layers above it.
It has many limitations but as far as I'm aware (I am a CS3 user) this is the only light linking that can be done.
Obviously stacking more lights above might effect layers that you don't wish to but this might be enough to do what you want