I built a beam in my basement to contain lighting. I used plywood and made it look as if it had dovetails joints. First I set up supports for the beam to be attached to, then the beam was screwed into those supports. The wiring for the lights runs along inside the beam. To make this easier to wire, I left one side of the beam open until the lights were installed, then the beam was closed up.
This is the beam I built in my basement. It has a faux dovetail joint and four lights inside. Visit my blog for the details.