yeah, i figured out that you can't use raytrace shadows with light fog. And with depthmap shadows you have to do some tweaking in the render settings but it eventually won't give good results. I did find this youtube vid that might be of some use.

https://www.youtube.com/watch?v=TekaB3OMbGI

it's not in English but you should still be able to figure out what he's doing. Oh yeah, when he assigns a material to the box...he's clicking on transmat in the list...bottom of the list for me.