No worries with the upgraded versions. I was actually testing my settings in 2009 as well.
Do you have anything for the shadows to be cast UPON?
Unless you have a solid or surface set as the "ground" or at least a lower object, then there is nothing for the shadow to appear on. Autocad won't draw the shadows on the imaginary z=0, XY plane like some software packages do.
See attached screenshot. Notice Lightingunits setting at command line, shadows setting in the realistic visual style, and the sun and sky settings to the left.
Other than quickly putting in the base box and the cylinder, the above settings were -all- I changed after opening Autocad with the default acad.dwt template from the default install. There -shouldn't- be any other saved settings, but sometimes I forget. Those really oughta be the only things necessary to display such things.
ETA: I just thought to check 3dconfig for any functions disabled due to graphics card compatibility. Let me SS my gfx card settings and post again.
ETA 2: Also notice the DATE and TIME properties for the Sun Settings. This is where you can mess with all that fun stuff for a mock sun study, after picking your relative location on the globe. There is no convenient, real-time slider like the video you posted has, but you can quick-enough pick various times of day. In fact, I just tried it out, and so long as you keep focus on the drop-down box, you can use the up/down arrows to adjust the time of day quite quickly. This works on DATE as well, but you can't adjust both simultaneously... though I don't know why you'd want to, that'd get confusing.