Take some time and use a menu system like this:
SuperFIsh has drop-shadow menus out of the box in addition to being valid, modern code.
The Fireworks menus were garbage years ago, and shouldn't even be considered as an option these days. To answer your question directly though, no it's not possible to add dropshadows through Fireworks. You'd have to make the adjustments in Dreamweaver, and be quite good with HTML / CSS (so good that you'd never consider using the Fireworks code in the first place).