Step 1: First of all you need to create a new image. In my case the image has a width of 210 pixels by a height of 150 pixels, but the size is unimportant as long as you can fit your object you want to have a drop shadow in it with plenty of room around it to play with. The object you want to have a drop shadow should first be placed on a new layer above the background. If you are pasting it to a new image, this will be done automatically. The upper left image is what I chose to give a drop shadow and the right image is what the layer menu should look like after you have pasted your object to your new image.

Step 2: Now you need to select your object. There are a couple ways to do this, but the method I prefer is to hold down the Ctrl key and click on the layer you wish to select in the layers menu. Another method is to right click on the layer you wish to select in the layers menu and choose the option Select Layer Transparency. Either way will produce the same result. Next you want to create a new layer between the background and the layer your image is on, which if you haven't changed the name, should be called Layer 1. Make sure you don't deselect the previous layer transparency while doing this. Next make sure the new layer called Layer 2 is selected in the layers menu and fill the layer transparency with black. Do this by selecting the color in the color pallette and hold down the Alt key while hitting the enter key The image to the upper left is what my object looks like when it's transparency is selected and the right image is what my layers menu looks like after I completed this entire step, note Layer 2

Step 3: In this step you'll start to see more of a difference in your image. First deselect the layer transparency by holding down the Ctrl key while hitting the D key. Now go to the Filter pulldown menu a long the top of the program. Hover over Blur and then choose Gaussian Blur in the sub menu. This is a very powerful tool in Photoshop and I suggest you play around with it to get a feel for how it works because it will become one of the filters you use more than anything eventually if it isn't already. Back to the point, for my image I chose a blur radius of 4.0 pixels but if you have a larger image you may want a larger radius. Like I said, you'll need to experiment with this filter to find what suits you. The upper right image is what the popup window for Gaussian blur looks like and the left image is what my object looks like after the blur is complete. Notice the fuzziness around it.

Step 4: Select the Move Tool from the Tool window or you can hit the V key to select it. The upper right image is what the icon looks like on the Tool menu and your cursor should now be shaped like that as well. Now make sure that Layer 2 with your blurred silouette of your object is selected. Left click and hold the button in over your image and move your mouse down and to the left slowly. You should see the blur move underneath your original object, this is your drop shadow. You can place it anywhere you like around the image but I normally drop the shadow down and to the right of the object. Move it far enough so none of the blur shows past the opposite edge of the object but not so far you are unable to tell it's a shadow. A good rule of thumb is to move it at least the same amount of pixels as your blur radius from the gaussian blur, but not more than a few more.

Step 5: This step is optional and it will depend primarily on your background color whether you want to do it or not. If you are over a dark background, then you'll probably want to leave it alone and your drop shadow is complete. If you are over a light background as in my image, the drop shadow is a little dark for my taste. To lighten it all you have to do is right click on the blurred layer, which should still be called Layer 2 unless you changed it, and select Blending Options from the menu that pops up. After you choose this another window called Layer Style will appear. In this window towards the right there is an area called General Blending. In this area leave the Blend Mode as normal and reduce the opacity to 75%. I recommmend that you play around with this setting as well because opacity is another thing you need to learn to get the hang of for future projects anyway. After you complete this your drop shadow will be complete as mine is in the image above.