Absolutecross has a nice easy tutorial on creating a drop shadow with Photoshop.

This is a basic tutorial that will teach you several ways to make a dropshadow in Photoshop. Even though this technique is very simple, you will most likely find that you will end up using it a lot in your work.

In newer versions of Photoshop, there is a built-in way to make dropshadows underneath your text or objects: choose Layer-> Layer Style-> Drop Shadow.
Sometimes this may not give the effect you're looking for, so if you're a purist, or use an older version of Photoshop, follow along...