You can definitely create an inner shadow along two connected sides (a corner), three sides (w/emphasis on the middle side), or four sides (with equal emphasis across all sides). However, if you're looking to create an inner shadow on two opposite sides only, then some other technique may be necessary.
You can definitely show an inner shadow on just one side of a rectangle. You just need to turn the blur down to 0 to prevent it from leaking to the nearby sides. Then set the angle to an exact multiple of 90, like 270 to put the shadow on the top side of the rect.
This file has some examples: http://johndunning.com/fireworks/scratch/Shadowed%20Elements.png
If you're trying to simulate a rectangle with different border colors or widths, this auto shape can make that easy: http://johndunning.com/fireworks/about/MultiBorderRect
Do it with a linear gradient - dark gray - white (or whichever color you like) - white (or color) - dark gray. Arrange the color chips until you get the effect you want.
SIMPLE! ....... Create 2 Shadows!
A key feature is the ability to apply multiple effects on elements in Fireworks. Add shadows in any direction you want.