Most things in Europe are 240 volt. Normally, if there is a transformer on your light setup, it should be rated for 120 and 240. If you own an iPod charger, you can look at that and it says "120/240". It is rated for both. So if you need to plug it into 240, nothing bad will happen, and you won't need a power converter.

On the other hand, if there is no transformer and your plug coming from the wall goes DIRECTLY into the set and bulb (which I doubt) and it does not say anything about 240 volts, don't do it! Your bulb WILL burn out and worst case scenario it will EXPLODE!

If your HID lighting system says its rated for both, the output will not increase on 240, it just means the transformer will work a little differently to accommodate the higher voltage input.