What is this effect's name? And how would I be able to do it in Sony Vegas?
Search Google for "light leaks". Here's free collection: http://vegasaur.com/free-light-leaks

How to use: Place the desired light leak clip on the track above your video and set track's compositing mode to Screen or Add. Adjust the amount of light by lowering the clip or track opacity. You can also add change luminance or color by adding Levels, Color Balance or Hue/Saturation filters.