Select the light you want to cast shadows and in the Parameter palette scroll down to the Shadow section and choose either Depth mapped (reasonably fast but a bit blurry) or ray traced (slow but sharp, software renderer only). If you don't get shadows look to see if you are using 3Delight (software) rendering or OpenGL (hardware) - OpenGL may not work on some systems - and look to se if your other lights may be washing the shadows out. You'll probably need to select the environment and turn off cast shadows for it (also in the Parameters palette) as it will increase the blurriness of depth mapped shadows and, if the angle is wrong, may give a shadow of the backdrop across the floor.