How?

The only volumetrics I know of is halo lamps

Where do I find such settings?

Ya, you have to have a recent SVN build. Search for a sim-physics or volumetrics build at graphicall.org and get the most recent one, it is soon to be merged with the official blender 2.5. There is already a "volume" button in the 2.5 builds, but it does nothing yet, though it is an indicator that volumetrics is going to be in the final 2.5 release.

cool, too bad my internet cant handle downloads atm >_> slow as shit <_<

Gorman makes me wanna take a big, fat juicy....

wow, creepy :3

Omg foodeater I just loved that.

Could have been epic... (What's wrong with shadows?)

In the first one? Nothing! They are just very blurry. If you look at it, there is no place where the light would actually shine through. I also used crappy settings on that one though.

Are the others okay?

Eh, your light appears to be coming from straight above the middle one.
The one on the left has a straight bloody chasm running through it, and a light up and to that side of it should shine through the gap.

I was using a shadow filter which blurs by bloating it. The gap kinda got obscured. Anyway, the shadows on the floor are not exactly the showcase in that pic..