To make the light means to drive through or go through (if someone else is driving) a traffic light when it is green or yellow.
To make all the lights means to do this for all the traffic lights on your way somewhere, or in a series of lights on one street.
I also don't have resources. It's not a major phrase used all the time, but I would say it's an idiom and is more slang than respectable. It's more often something we say than write, unless it's in a story of some kind. In writing a non-fiction description, you would write something like
"In order to arrive at place X from place Z in ten minutes, you/one must not be stopped at any of the traffic lights in between."
"Well , if you want to get there in ten, you will have to make all the lights."