lol, thats why,

when you create a light, go to the attribute editor
go down to light effects and click the checkerbox next to the lightfog attribute...... then you should see a wire sphere around the light, if its a point light, if its a spotlight, you should see a wire cone and so on..., inside the sphere or cone is where light will appear, you can increase the size of those....... now make sure depthmap shadows are on on the light