Hey Big Daddy,
Try a bridge rectifier from Radio Shack. They have all kinds of them, and the hook-ups on their web site. The capacitor goes after the rectifier. Happy hunting.
Dan
If the lamp is just a regular light bulb, why not just power it with AC (as beenthere has already suggested)? If the frequency is 60 Hz or higher you wont be able to tell the difference between your dirt-bike lamp and the lights you have at home.
Also as connected in your drawing, it will "work." It is just a waste of power. The capacitor will couple the AC and act like a low resistance across the terminal, drawing unnecessary power from the PMG (i am assuming you are using a permanent magnet machine), then the diode will just half wave rectify the stator voltage...doing nothing for you.
However if you want to just use those 2 components and you REALLY REALLY want DC (with poor ripple), put the capacitor on the other side of the diode. If the frequency out of the stator is high enough, full wave rectification is not necessary.