They're in front of a white wall that somebody has a light coming from the bottom and is pointed at the wall. Most likely that's just a simple desk lamp.
The other light is above and in front of the actresses. Most likely it's behind the camera and pointed at a not-too-harsh angle to avoid shadows on the faces, but it's not so bright or it's so far back that it's not spilling on to the background. It too could be pretty simple.
They're also desaturating manually in FCP - instead of tinting grey or using the desaturate option, they're going into the color corrector and pulling the colors down as well as the blacks, that's what gets the steep falloff.