To add a drop shadow to a layer, go to Layer - Layer Style - Style Settings. The Style Settings box will open up (no, I never heard of it before either) and you will see Drop Shadow, Glow, Bevel and Stroke. To be fair to Photoshop, these have been Layer Styles for many years now, it's just that they never changed it in Photoshop. This actually makes more logical sense - it's just different. Click the box for *drop shadow* and you will see the important settings, like Size, Distance, Opacity.
Brad draws custom cartoon illustrations for publications, blogs, presentations, anything you want. You can contact him at his website BradHallArt.com