Lightmaps can be baked into your scene from a 3D modelling program, it uses a second level for the lightmap texture and then both textures are blended together to make a real nice effect.
No shader.
Delgine's DeleD is a free modelling package that allow you to create levels with as many lights as you need. When you're ready, just click the lightmap option and save out as a dbo file and you're done.
And yes, it works with fog.
EDIT: Lightmapping takes 1 extra texture stage. DirectX and DBPro has 8 texture stages. ie for normal maps, etc. Lightmapping is just one of these stages which is blended.
Mental arithmetic? Me? (That's for computers) I can't subtract a fart from a plate of beans!
Warning! May contain Nuts!