Goodness, that's far easier than lighting a room. Here's a standard overcast atmosphere from Vue 7. I've moved the sun around behind the sphere so the shadow casts in the direction of the camera, like your example. I rendered it in Final mode with Radiosity turned on. In the atmosphere editor I set the light balance to 3% (towards ambient) and set the sun light's softness to ten degrees.

There are of course ways of creating scene settings which do not render photorealistically. The goal for me is to figure out how to create settings that do. 

If you want stronger shadows, then you can move the slider more towards the sun and adjust the radiosity gain and get this pic: