You say screen then light. The screen is obviously the screen and the light is usually a little led in the speaker grill. Or somewhere at the top of the device depending. What device do you have? What app are you using? What have you tried and where have you looked?
Anyway for the most part I've seen this setting in the app, but I don't use any of the stock apps so your results may vary. Usually there's a setting to wake the device upon receiving a text in the app.
As you can see I have the option selected for the pop-up which waffles my screen and displays the message in a bubble. If I disable this there's another option to light the screen indicating a message was received. All in app settings.