If you are using maya... read down
first of all, you have to open render globals, then switch renderer to mentalRay, next thing to do in render globals is to enable caustics. then you need to set "emit photons" to at least one light in your scene and make sure that light is bright enough.
of course you have to make corresponding material for the yellow thingy.
then you can fine-tune caustics with min and max sample levels and so.
hope it helps a bit! have fun