Sorry for all the posts but I figured I'd post an example of the fog just in case you weren't familiar with it. By the way, aren't you a lightwave user?
Here's an outside light (need to use spotlight) with fog and shadows turned on. To turn on fog, select the light effects section in the attribute editor and then click the checkered box all the way to the right of the light fog text box. You now have fog.
I have a transparent window with cast shadows turned off. To do that, select the window and then in the attribute editor go to the Shape Tab and then under that tab go to the Render Stats section. You will then see an option to turn of Cast Shadows.
Note: There are other settings for the fog that you can adjust like density, spread, depth, etc. although they're probably named differently than I just mentioned. Play around with them to get a hang of what they all do.
Don't be satisfied with what you can do but rather strive to do the things you can't do!