Shadow's not .. casting?

I have this model of the Halo Rifle from halo.
(im using it as a test)
and every time i try to use it in game. shadows don't show on the weapon.
Let me explain.

Here is the Model before Exporting to DTS
http://i180.photobucket.com/albums/x307/smwsclan/ms3d2008-12-2400-06-45-60.jpg

and Here is the Model In-Game
http://i180.photobucket.com/albums/x307/smwsclan/Blockland_00025.png

*Notice the Shadow difference? Im talking about the shadows on the gun.
Weird? or am i doing something wrong.?

I am using Milkshape btw.
thanks in advance.!