Volumetric lighting can be done with volume scattering.
On cycles you have two basic choices:
1. Add volume scattering to the world volume. That will create a foggy/dusty atmosphere for the whole scene. It might take long to render, but the whole scene will be covered in a kind of misty/foggy atmosphere.
Note that anything connected to the background surface shader will be ignored and will render black, so Enviromental textures will not work well with volume scattering (for more info read this post).
2. Create some geometry around the area where you need volumetrics, and use volume scatter as volume for the object. This approach has the advantage of being a bit less intense to compute and you can still use the background color or environment images (like HDR).