The Chanukah lights are kindled every night of Chanukah. The Maccabees chased away the forces of darkness with swords; we do it with light.
The custom of many communities (and such is the Chabad-Lubavitch custom) is to light the menorah shortly after sunset. In other communities, the menorah is kindled after nightfall (approximately thirty minutes after sunset). Either way, the menorah must contain enough fuel to burn for at least thirty minutes after nightfall.
Regardless of the custom you follow on other Chanukah nights, on Friday night the menorah is lit before sunset, and on Saturday night it is lit after nightfall. See Special Shabbat Rules for more information.
Ideally, you should light the menorah at the earliest possible opportunity. Only delay if you are awaiting the arrival of family members who wish to be present when the menorah is lit. The Chanukah lights may be lit as long as there are people in the streets, or as long as there is another family member awake to participate - but no later than one half hour before dawn. (If no other household member is awake and the streets are already quiet, light the menorah without reciting the blessing.)