You need a floor - either create a large enough plane primitive (Create>New primitive) and rotate it so it lies flat or use a prop of some kind.

Create a new light of the type you want (probably distant or spot) and in the Parameter palette - with light still selected - select either Depth mapped or Ray traced (try the first one - raytracing is slow) for the shadow type (it will be set to None initially). Aim the light so that it should cast shadows from the figure onto the floor (one way to do that is to select the light from the list of cameras, at the left of the viewport title bar, and just aim it as you would a camera).

Try a render. If you don't get a shadow go to Render>render settings and drag the slider at the top all the way to the right (the other positions use your video card to make a faster render, but not all of those give adequate, or indeed any, shadows) then try rendering again.