Making an LED light up while a button is pressed is fairly simple, provided you have a double pole button(doesn't matter if it's DPST or DPDT, you'll only use the NO side):
Wire up one side(pole) of the button like you normally would to the controller.
Then, connect one lead of the other side to ground, and the other lead to the LED's flat side.
Now connect your +5v through a current limiting resistor(330ohm is a safe value) to the other side of the LED, and it should light up when you press the button.
Using a single pole button is a problem, the input pin on you controller(whichever that may be, you didn't specify) probably isn't designed to sink enough current to light up an LED.
Unless Cristiano has another way, the double pole button is the easiest solution.