You would wire the switch to the first light. Code says to break the black or power side of the circuit. Connect the white to the light.
Take the black down to the switch on the black wire and back to the light on the white. This is a line of wire from the light to the switch. From the first light, take the white and the return white from the switch to the second with another run of wire.
This will be regular black white with ground. White to white and at the first light the return line from the switch is white but hook to the black to the second light. Second light to third just continues the two wires.
Black to black, white to white. I think this is clear enough to follow. If not, ask again.
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