XNA does not contain any functionality for managing a "scene" - you will have to implement that yourself. For example: you might make a Light class containing the information about your light (position, orientation, etc), and then have a List<Light> of them, which you update and render yourself.
I will now assume that you have a 3D model of a "Light" (as in: the metal box containing the lightbulb) and also a 3D model of a stage. And that you can figure out how to render them - there are plenty of tutorials online for simple model rendering in XNA. Here is a starting point.
So your 3rd requirement ("Dynamically add or remove fixture") should be fairly simple once you can render things. Just add and remove Lights from your List of them based on user input. See the Input namespace.
And your 2nd requirement ("Dynamically moving object with mouse and get position in return") should also be simple. If you want your user to move lights by clicking and dragging, just keep track of the mouse position between frames and apply that as an adjustment to the clicked Light's position (or rotation).
To figure out which Light the user clicks in the first place, a good starting point is the Picking Sample.
I am assuming here that the user will click the Light (metal box) itself to move/rotate it. If you would rather have the user click and drag the endpoint of the light (the spot it projects) - that is more difficult. One idea that comes to mind: Intersect a ray from your Light with the stage to find the centre of the projected spot. At that point draw a dummy "handle" object (like a sphere) that the user can click and drag around. When the user finishes dragging, figure out the new orientation for the Light to make that the new centre.
Finally your 1st requirement ("Generating light (orientation , bitmap like filter in front of light )") is the tricky one. My understanding of this is that you want a way to draw the endpoint of the beam of light on your stage model? If so, what you are looking for is called Projective Texture Mapping. Presumably you will have a circular texture for basic lights, and perhaps other textures for gobos.
The quick-and-dirty way to do this would be to draw your stage model, once for each light, with additive blending (so that each light added with the other lights and the black had no effect), with a colour set to whatever you want the light colour to be, and with a black and white texture (a white circle on black background) drawn with TextureAddressMode.Clamp, with a shader that draws the texture with projective texture mapping which is set up with the light as the projection point.
