Sounds like you are drawing the beam, not turning on the light.
Draw Beam is in the lighting instrument's OIP.
The easiest way to get the instrument to turn on is through the Visualization Palette, Light Tab. If you have more than one instrument in the drawing, make sure the instrument w/ the gobo has something in the Channel field and/or Purpose field. That will make it easier to find in the list of instruments.
From the Vis Palette, turn on the light and then render the drawing in Final Quality Renderworks (or Custom Renderworks w/ shadows turned on.)
Make sure Draw Beam is off. (The nurbs curves of the edges of the field and beam angles actually block the light.)
hth
michaelk