You've done a really great job on the texturing and modeling. As for shadows, there should be some really great information in your help files (F1). But the very basics, is to select your light and then in the attributes, under the shadow section, check either "use dept map shadows" or if you are going to render with Mental Ray, check "Use Ray Trace Shadows".

For Dept Map Shadows: 1) Higher Resolution makes cleaner shadows but increases render time. 2) Filter size adjusts the sharpness of the shadow edges whether you want soft shadows or harsh shadows.

For Ray Trace Shadows: 1) Higher Light Radius makes shadows softer, lower radius makes shadows harsher. 2) More shadow rays makes cleaner shadows, less rays makes shadows more grainy looking.

For more detailed shadow information, search around in your help files, but this should give you a decent start. Good job so far BennyK