There are several reason why you may not be seeing shadows:
1. Check to make sure that shadows are enabled. Go to the Project Settings->Shadowing tab and make sure that the Shadow Technique field is not set to None. Note that you must relaod your project for changes to the Shadowing Technique to take effect. Use the Project Reload Button on the main toolbar.
2. Make sure that the light you want to use to cast shadows has its Cast Shadows property set to True.
3. Make sure that the model that you want to cast shadows is a shadow caster. Its Cast Shadows property should be set to True.
4. Make sure that the object onto which the shadows are to be cast is a shadow receiver. Verify that the objects Material has the Receive Shadows property set to True.