I'll start with a proviso that if you're not sure how to do this, then you really should get somebody to at least check your work before turning on the power. That said......
Run 2-core (plus ground) Romex from panel to first light, 3c+gnd from first light to second light, then 2c+gnd again from there to the switch. 3-core Romex will normally have the cores colored black, white and red.
The feed from the panel will be hot on black, neutral on white as usual.
At the first light, connect the white from the supply cable to the white on the 3c, and also connect this to the white/neutral on the light. Connect the black from the 2c supply cable to the red of the 3c cable. Finally, connect the black from the 3c to the black/hot side of the light (on a normal ES fitting the hot must go to the center contact, neutral to the screw shell).
At the second light box, connect the 3c white to the lamp's neutral/white terminal. Mark the white wire going to the switch to show it is a hot wire, and connect it to the red of the 3c cable. Finally, connect the black of the 3c, the black going to the switch, and the black/hot side of the lamp together.
Grounds should all be connected together at each point as usual, of course.
If the breaker supplying the circuit is 15A, then #14 cable would be the minimum size; if it's 20A then you need at least #12.
one further thing you may need some terminal block to join the unswtiched hots together at the lights
Wirenuts would be the usual form of connection.
I can also tell you differnt states have different wiring codes, what may be ok in one may not in another
There can also be local county/city requirements in some cases. For example the City of Chicago does not allow the use of NM cable (Romex) but requires everything to be in conduit. Some areas require permits and inspections, others do not.
The NEC (adopted by all states, with amendments where necessary) also specifies certain configurations for circuits. Without further information on whether these lights are running on a new breaker on an existing one, it's impossible to say if these would be satisfied or not.