The Aqua Lamps can be found at the bottom of the Lake of Solace, at the coordinates 5997, 6139.
There are a total of 12 lamps. In order to gain the Sleeping with the Fishes Achievement one needs to light up all the Aqua Lamps in no particular order.
Upon lighting up the last lamp, a chest will appear in the center and the player will receive A Rusty Key that can be used to open the chest. Lamps can be reached from the center of the circle, and must be right-clicked to light within 1 second of appearing.
The player does not have to light all the lamps himself. Only the last lamp lit will give the key. The credit for the achievment for this puzzle comes from looting the chests, not lighting the lamps.