I have multiple objects in my scene and I have multiple light sources in it. How can I make that a certain light source affects just one selected object so it doesn't affect other objects in the scene? My render engine is Cycles.
This feature is known as Light Linking, and it doesn't exist in Blender as of 2.81a
There is a todo item to include this in the future: https://developer.blender.org/T68915
What you can do is render in multiple view layers with only certain objects and lights together in a layer. Create multiple view layers, and enable/disable collections to include them in the view layer. The arrow icon sets a collection to 'indirect only', so the object itself is invisible, but it still contributes bounce lighting.
After rendering, the view layers need to be combined in the compositor.