Windows

http://support.microsoft.com/default.aspx?scid=kb;en-us;q101898

Start Registry Editor (REGEDT32.EXE). Choose the HKEY_USERS subtree and search for the DEFAULT\Control Panel\Keyboard subkey. The default value is InitialKeyboardIndicators:REG_SZ:0x80000000.

If this key has the value 0, Windows NT turns off NUM LOCK when the user logs off; if this key has the value 2, Windows NT turns on NUM LOCK when the user logs off.

Then....

Choose the HKEY_CURRENT_USER subtree and search for the Control Panel\Keyboard subkey. The InitialKeyboardIndicators:REG_SZ: value corresponds to the HKEY_USERS value: 0 turns NUM LOCK off when the user logs on and 2 turns NUM LOCK on when the user logs on.

The two areas of the registry are probably in conflict and thus you do not get any lights.

You mean that if you press Caps Lock then Caps Lock LED did not light or you try changing the LED state via some program?
If it is the first case, I am afraid that I can not help you, maybe check the registry for HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Control \Keyboard Layouts and play with them :-(.
If it is the second case it is by default, by design. NT does not allow you to play with 8042 controller directly. So you need the driver SDK :-(.
?
Have a nice day

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