Real shadows have two parts, the umbra and penumbra.
The umbra is the part of the shadow that is totally blocked from the light source, while the penumbra is only blocked from part of the light. The size of the penumbra is depends on the relative distances of the objects as well as the size of the light source. If you haven't already loaded the shadow tutorial, do so now by choosing shadow form the load menu. Also, if you have turned on raytraceing , disable it by selecting radiosity from the general menu. Look at the rendered image.