Here is quick tutorial on how to add a Drop Shadows using the Layer Styles method in Photoshop. I used Photoshop CS6, but this technique will work with CS5 and earlier versions of Photoshop.

 

Step 1:  Select the layer that has the image/ element you want to add the drop shadow to.
Step 2:  Double click on that layer (do not double click on the name of the layer)
Step 3:  Select Drop Shadow option in lower left of Layer Styles dialog box
Step 4:  Double click on the Drop Shadow option to open up the properties of the drop shadow
Step 5:  Adjust the Drop Shadow properties until to you are satisfied with the image, click OK