Even though the text in the question says that there is a "Spot Lamp", the lamp in the linked file is set to "Sun".
Volumetrics will not work with a sun lamp.
Sun lamp is not really a lamp in the sense that it's position on the scene won't affect the lighting, it is designed to give parallel rays from an infinite distance with no fallof... Just the opposite of what is needed for volumetrics.
Other light that won't work with volumetrics is Hemi
Change the lamp to any other type of directional lamp. Point, Spot or Area will work fine.
Also keep in mind that when you deal with volume scattering or absorption the light source will not be as intense, so be ready to bring up the intensity to compensate. Depending on the amount of scattering and/or volume absorption you might need very large values.