I have put a spotlight in a box but the light still go through to another box. I have tested with shadow enable too. The box is from 3d max fbx object. Here the screen capture.
Do you have unity pro or indie? Because shadows only work in unity pro.
It looks like the radius of the light cone is big enough that it falls over the top of the box.
Geometry alone never blocks lights. If it did, there’d be no need for shadows. 
The only ways around that are to use shadows (which, as Daniel said, only work with Pro), or make the stuff you don’t want affected by the light into a separate object, and put that on a layer that the light doesn’t use.
–Eric
Yes, I do have pro version. I have tried with shadow enable too.
Is the object’s renderer’s ReceiveShadows and CastShadows enabled? They must be enabled.
Try making two cubes and shine a light on them with shadows enabled. If one does not cast a shadow on the other, your machine’s graphics card does not support shadows. If the cubes do cast shadows but your model doesn’t submit a bug report.
What hardware you’re running on? Some older video cards just don’t support shadows.