Thank you to the 2 people who have already responded about this, but I don't know how to get to those boxes shown.
I am using CS5, about to upgrade but have not so far.
Is it possible for someone to explain how to arrive at the dialog boxes shown on either of the 2 answers?
Thanks, you two!! I did find the dialog box, at least one of them.
Window > Effects. From the panel open the menu and choose drop shadow.