you have to open the light's properties editor, and hit the 'advanced' button towards the bottom. that'll bring up some of the more complex options, including light influence areas, and the one you're looking for, shadow settings. in anim8or, all lights have shadows disabled by default, you have to go into the advanced properties editor and enable shadows for those lights which you want to cast shadows from.
be warned: volume shadows are notoriously buggy. if your scene's not too complex, then you might get away with using them, but if your scene is too complex then horrible things will happen in your render. i've found they tend to mess up especially when there are multiple lights in the scene. if you choose the 'raytraced' option, then you're guaranteed that the render won't go wrong, but it'll take much longer than the volume shadows do.
if it still doesn't work after you've set up advanced options for the light, and ensured that the Cast/Receive settings are correct for all objects in the scene, then go View > Preferences, and make sure the 'Shadows' box is checked in the 'File Output' section.
hope that helps