Well the cone effect is created by using a light modifier at the source. For example, if you photograph any street lamp at night, you will see the cone coming down. Why? Because the lamp body blocks the light from shining upwards, and it reflects the light downwards in a spreading fashion.

You can achieve this in a studio with a reflector, as simple as this:

However you wrote about creating it specifically at night. Where? Outdoors? You can still use a reflector like this, with a speedlight on a tripod. (Speedlight = a flash unit you would normally attach to the top of your SLR camera, but in this case you attach it to a remote trigger and put a second trigger on your camera. Fire the camera = trigger the flash which is on the tripod, or anywhere, in your scene).

As to the haze, you won't specifically need fog or similar. Because it's night, the rest of the scene should be relatively dark, so the way the light falls away from the flash to the ground means it gets less intense, the further it is from the flash.

Your linked example does look foggy, however, in addition to the light falling away in a cone from each street lamp.