I've got different object with one light. Each of them has a shadow on itself, but I also like a drop shadow. So that an object throw its drop shadow on another object. (Its moving.) How is this possible?
This isn't something you can switch on and off. You can calculate it yourself, but it's a lot of work, and not very easy. I found an example of a single object with shadow which was posted on the forum at some point. I can't find or remember who made it, so I can't give any credit. It shows you how complicated this would be, especially with lots of objects.
But if you want to go the distance with shadows (pun), I'd recomment finding another solution, like another 3d engine. I'd love to have something in Max too, but I don't see it happening (maybe with the new Jitter?