There are a couple of ways to invoke Discover directive, the easiest way to start is speak Alexa, discover my smart home devices to Echo/Alexa App or AVS devices.
Open Alexa App or go to Alexa Web Portal
Choose Devices, and then click add icon
Choose Add Device
Scroll to the bottom, and then choose Other
Click Discover Devices. Wait for 20s, the discover process may take longer.
Once finished, return to the Devices screen. Now, you are going to create a friendly name for the lamp.
Choose All Devices, you should be able to see a device named Smart Lamp
Select the device
Click Edit Name, and input whatever your like. After you change the friendly name, you can control the device through voice. Example utterance like: