How do I make a drop shadow?

Create a copy of whatever you want to add a drop-shadow to, fill it with black, blur it and move it below the original object.
Not sure whether your software has an easier way (the GIMP has, but I guess from your topics that you want to do this in Photoshop) to do it, but this should work everywhere.

In Photoshop you can select the layer with the object you want to apply the drop shadow to. From there click on the little fx (add a layer style) icon in the bottom of the layers pallet and select Drop Shadow.

And if you want to separate the affect out of the layer into its own layer you can do Layer—> Layer Style—> Create Layer.

don’t forget that once you’ve applied the drop shadow, you should go in (double click on the little circle that appears on that layer) and modify the settings. Usually, the base drop shadow is too big for realism. If you double click on that little circle, the layer styles window will open. Click on “drop shadow” and you’ll see the settings. Depending on what you’re apply a shadow to, you’ll want to modify the size, distance & spread until it looks the way you want it to look.