Have you read your manual? If not, then you might wish to for avoiding future problems. The answer is to make sure you have something to cast a shadow on... for instance, the ground plane. Then make sure your lights have "cast shadows" enabled, and also that "cast shadows" is enabled in your render settings.

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Tools :  3dsmax 2015, Daz Studio 4.6, PoserPro 2012, Blender v2.74

System: Pentium QuadCore i7, under Win 8, GeForce GTX 780 / 2GB GPU.