Hmmm. OK. You have Cast Shadows turned on in the lights' parameters, right? Silly question, I know ... but one that has to be asked. Do the particular objects you are trying to cast shadows onto have Cast Shadows enabled in the Parameters? Are you doing a hardware or software render? If hardware, does your video card support shadow maps? Beyond that I would do an install, uninstall and try from there. If that fails, submit a bug report.