If you double click (or right click and select "Modify furniture..." from the menu) a piece of furniture, light bulbs are also furniture, then you should see something like this, depending on your operating system.
The "Angle (°):" is the rotation. Start off around 20 to 30 and increase from there. [:)]
db4tech
Forgot to say, you can also change the light size with Width, Depth and Height, the larger the light the softer the shadow, be very careful that a large light doesn't go through a piece of furniture though. If it does you will see a black or dark circle at the point of intersection. Plus shadows would become more noisy.
If that happens you can either move the light slightly or reduce its size a little.