In WED -> File -> Map properties and set values for sun, ambient, azimuth and elevation. If your level is made of block geometry or map entities and you set my.shadow=on flag on the player model, you will have on this moment z-buffer shadows running.

However, if you dont like z-buffer shadows considering its hard edges, you could just write on main function shadow_stencil = on; and you will have dynamic shadows with more quality, since the sun its a dynamic light too by default.

If you have .mdl entities under your player you really need to use just stencil shadows, because z-buffer shadows dont work on models.