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To do so, make sure your layer is selected. From there, there are three ways to open up the correct "Layer Styles" menu:  In the layers palette on the right, select the Effects button. It is small "fx" on the bottom of the palette. Click on "Layers" then "Layer Styles" from the top bar. Right-click on the layer in the layers menu and select "Blending Modes." It is usually on the bottom of the menu on the left side of Blending Modes or Layer Styles. Once you click it, you should see a checkmark in the box next to the words Drop Shadow. There are only a few settings, namely "spread" and "size," that really matter here. However, you should feel free to adjust the rest of the settings at will to get your perfect shadow. With the Layer Styles menu open still, click on the image and drag. This will show you the shadow. You will be able to move it later as well, so just put it somewhere you can see it well for now. Spread will take each bit of the shadow and grow it, meaning some parts of the shadow may blend into others. While the amount you want is different for each project, 5-10% will create a nice fuzz. Play with this until you find your desired amount of blur. For reference, remember that hard, bright light sources make very sharp shadows. Weak or far-off light creates blurrier shadows. Once your layer is fully styled, hit okay. You'll see a set of "eyes" appear under your layer in the layers palette, one labeled "Effects" and one labeled "Drop Shadow." Right-click on the "Drop Shadow" one and click "Create Layer." A box appears claiming "Some aspects of the Effects cannot be reproduced with layers!" Ignore this -- a drop shadow can be reproduced.

Summary:
Select the shadow layer and open up the "Layer Styles" menu. Select "Drop Shadow" from the menu. Click and drag the shadow in your image to move it around. Use the "Spread" to change how wide your shadow is. Use the "Size" to adjust the blurriness of the shadow. Hit OK to create your shadow, then turn it into its own layer.