well you need to turn on 'casts shadows' in the light's attributes.
and as for the fog, use show manipulator, then click the blue options circle (located by the light with a line coming out of it) until you see a bunch of cones coming out... those are the fog areas. can't remember the technical term for it, but they are the sections where the fog actually appears. you can lengthen and move them.
Accept no substitutions.