mmorpgforum.net - [Help] Shadows over a character exported from WMV

Hey there!
I'm a bit nervous with it :S I'm working on my first machinima :) But i can't achieve that effect of shadows over my characters!
I mean, you can see some EPIC machinimas with cool edition's skills, and those characters are very nice "edited" with they own shadows depending of how the light is affecting them.

I'll show this screenshot, In which you can notice the effect of shadows I'm talking about. You can see a human with it:

My question about that is: How do i get that effect over the characters within my machinima?

Is that an effect i need to get in-game (while using Fraps)?
or Is that an effect i can add using Sony Vegas?

Please, all links to specific guides about this thread, or video-guides about this, would be great!
Perhaps, somebody with nice skills and patience can open a new guide in this forum, and notice me about it :D I don't know... but that effect of the screenshot I shared, got me very impressed!!

I'll really appreciate your replies! and after that, i'll show you my work so you can criticize it and help me to improve my skills :)

Thanks in advance.

PD: Forgive me about my english :S It's awkward yet :)