if you've turned on shadows on the light and it's not working than you might need to look under the objects attribute editor and tell it to cast shadows (i forget under which section) - but it should be on by default. maybe post a pic of your light's attribute editor so we can see what's going on.
If you have raytraced shadows on your light and you're using the Maya software render you will have to go into your render settings and check Raytracing, if you're using mental ray its activated by default.
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