If you are using light objects, you need to employ the include/exclude option in the lights’ scene tab. If you drag the object you want illuminated into the objects box and select “Include”, the lights will only illuminate the object.
If you are using GI, you will have to use the generate/receive GI options in the material>illumination tab for each material assigned to an object that you don’t want to receive illumination. In addition, if you don’t want the objects to cast GI shadows, you will have to use the “seen by GI” option in the compositing tag.