If your lamp has a third wire in the cord, it should be 'ground'. The two current-carrying wires are called 'neutral' and 'hot' based on, and because of, the way the wiring coming into the house is "arranged" / "configured"...
In the house wiring itself ( in the U.S.A. ), the white wire is the 'neutral' wire - which is the "common neutral" wire from the "center-tap" connection of the 'secondary' winding of the transformer feeding the house. This is why it is called 'neutral'. The other two current-carrying wires are called 'hot'. The most often colors for these are black and red. Both colors will be used when both 'hot' wires are needed in a circuit. Otherwise, it will usually be black - even if it comes from the 'red' wire side coming into the house at the breaker box. ( The actual wires that come into the breaker box will usually all be black, with the 'hot' wires marked with colored tape. It is less likely that one of them will actually be red. The red color comes into play when you have four-wire power transmission for a "220" circuit: green, white, black, and red are the usual colors. ) Then, there is 'ground' - which either has green insulation, or is bare wire.
So then:
'ground' => green, or bare wire
'neutral' => white
'hot' => black, red, blue, etc. - can be almost anything but green or white, but usually black and then red
Back to the lamp...
If one of the blades of the plug is larger than the other ( the corresponding slot it goes in is also larger ), then that blade is the 'neutral' side of the circuit. The other, smaller, blade is of course the 'hot' side of the circuit. The 'neutral' side needs to connect to the "shell" of the lamp socket, while the 'hot' side needs to connect to ( and, possibly going through a switch first ) the metal 'finger' that touches the tip of the light bulb when it is screwed into the socket.