Perhaps an offending question, but under the "Properties" tab of the light(s), is the "Shadow" option indeed checked (and pref'bly set to "Ray Trace shadow") and the "Shadow" value is above 0 (Parameter tab of the light)?

Same if you use a Render dialog (like D3D's Render Firefly script), just make sure "Shadows" is checked everywhere as well.

 

... just to ensure ... =)