Those are christmas lights hanging in front of a black sheet, on top of a roll of gray seamless. Tried just using the seamless but it didn't work because the lights illuminated the paper and you could see it in the photo, instead of just lights surrounded by blackness. So I put the sheet in between to make it work. One softbox for key and a smaller one as a hair light.
Michelle Williams is a huge style inspiration. I recently read a quote about her cropped hair that said: "I cut it for the one straight man who has ever liked short hair and I wear it in memorial of somebody who really loved it." So sweet.