Are you using v1.0? This is posted in the old version 1.0 section, so if not I can move the thread. If you are using v1.0 -- update to the v1.1.
In the toolbar there is a light bulb. Click that and you will open the Lighting Dialog. Both Natural Lighting and Artificial Lighting should be turned on. Make sure that the bottom part is gray -- you do not want to Override SketchUp Sun, so that it uses the SketchUp position. If you already have Light fixtures inside, one thing you can do is just move the natural light slider a bit to the left or right to adjust the balance between the natural and artificial lighting. If you have artificial lights on, but not enough sun coming in, or it appears there is no sun, move the slider to the left.
If you believe the artificial lights are actually off when the sun is on, try adding one test light that is small but close to the wall, and shining RED or some easily visible color. If it shines, then it really is balance.