You'll also need to cut a spiral out of construction paper and add a string so you can hold on to it.
FYI: This spiral was WAY too long (or my arm is way too short....) - I cut about half of it (the spiral, not my arm) off.
First, hold the spiral above the lightbulb with the lightbulb off. The spiral will pretty much just hang there (it might spin around at first, if your string was twisted, but once it's settled, it should stay put).
Then turn on the lightbulb and hold the spiral above it again. This time, the spiral will spin, and continue to spin. (I realize the picture below is useless, as you can't see it move, but it is, I promise).
The lightbulb is heating the air above it (a by-product of converting electrical energy to light energy). The warm air rises and cooler air sinks - a convection currect. This moving air spins the spiral 'round and 'round.