What was used for the paint?
according to the wiki article on Lascaux:
Just about whatever was available: charcoal, ground bones, berries, oxidized minerals, blood, etc.
A more interesting question would be how were the caves lit, without using up the oxygen and covering everything with smoke?
Oops, I skimmed over the article before posting but didn’t see that.
panache45, that is a pretty good question.

A more interesting question would be how were the caves lit, without using up the oxygen and covering everything with smoke?
The room with most of the paintings is not especially deep in the cave and is quite large (apparently around 66’ wide and 16’ high) - so it would take a serious fire to use up the oxygen.