You folks got me interested in this so I tried it with a ground plane and a sphere resting on it.  When I set the sphere to invisible, no shadow even with shadow activated.  MatrixWorks' steps work.  However, one more  thing you can check is the shadow intensity of your lighting .  

IIf the shadows are set too low the shadows won't show well.  eg a setting of decimal 2 (.2) will give an extremely faint shadow while a setting of one (1 ) gives you pure black.  Try eliminating all lights except one. Set the intensity of the shadow to one (1) in the lighting controls and see if you got the shadow, then reduce the intensity to your taste.  I have Poser 5 and it works just fine-Plutom