ANIMAL WELL

There are a total of nine candles in the game that need to be lit for this achievement. Every one of them is in a dark room, and often ones with the blue ghost-like enemies that chase after you. Lighting a candle first requires you to collect a match. There are nine matches in chests hidden throughout the map, so you'll obviously need to collect all nine matches to be able to light all nine candles. Any match can be used on any candle though.

There is unfortunately no way to track which matches you've found and which candles you've lit. I highly recommend that, when you find a candle, if you don't have a match, make it on your map (there is a handy flame icon you can use). This will make it easier to find it again when you eventually find a match. In general though, there is typically a match within a room or two of where a candle is located, although it might not be accessible yet.

For a list of all matches and all candles, use THIS LINK from over at IGN. It has screenshots of each match location, and then each candle location. As mentioned, there's no way for you to track which matches you've found and which candles you've lit, unfortunately. Wait until you have all five story items first, and then focus on mopping up what you missed, since the entire map will be accessible to you.