What type of lamp is it? If it's just something like a table lamp, all you need to do is to change the bulb to a 230V one (and, of course, to fit a UK plug with a 3A fuse). US lamps use bulbs with an 'edison screw' fitting, rather than the UK's 'bayonet cap', but such bulbs are widely available here.
If the lamp is more complex than a simple table lamp (i.e. it contains electronic components as well as a simple bulb), you'll need a suitably rated convertor. If the power drawn by the bulb (and any associated components) doesn't exceed 45W , this will do the job:
http://www.maplin.co....e.aspx?moduleno=19413
For a higher power rating, up to 100W, you'd need this:
http://www.maplin.co....e.aspx?moduleno=31899
(Remember though that you'd need to continue using the lamp with a US 120V bulb in it. It could be very hard to get a replacement bulb for the lamp).
Chris