Are you using Light Fog from a light?
..or are you trying to cast visible shadow-rays through regular volume environ fog?
Sorry, but I just need to know so I don't waste your time
NOTE: Just FYI, If you are using LIGHT fog (fog from a light)
Remember that Light Fog attributes are only available for Point, Spot and Volume lights
Israel "Izzy" Long
Motion and Title Design for Broadcast-Film-DS