Check your Fur Global's settings. Make sure Enable Fur is checked on and Enable Fur Image Rendering and Fur Shadowing is on too. Also, one of your spotlights (preferably your Key Lite) must have be linked to your Fur. (Do this by first selecting your Fur, then your Key Light, and go under Fur -> Fur Shadowing Attributes -> Add to selected light.
Hope this helps.
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