Attached Link: http://www.e-onsoftware.com/products/vue/vue_7_modules/?page=kronosfx

*Your not doing anything wrong.  *Nothing.  It seems that vue doesn't have this as a option like poser does.  You need a bolt on called KronosFx.

However there is a simple freebie which might help.. A freebie prop and .PDF tutorial designed to enable Vue Artists to use their own photographs (or renders) within Vue.  
http://www.sparkyworld.co.uk/3d10own.htm

It's not always perfect, but it can do a good job (better than a cube or plane) as the sample image shows.. 

Pinky - you left the lens cap of your mind on again.