I won't kid you - it's pretty effectively hidden. So stay with me on this. This is an advanced technique, so if you're just beginning Adobe Illustrator, I can't advise it. If you can do this, by all means do so, the effect is pretty darn cool. Here is how you do it:
Start by opening the "Appearance" window. I keep this window open all of the time, by the way. At the bottom of the Appearance window is an icon that says fx. That means "effects" - say it out loud. I've always enjoyed Adobe's sense of humor on this. That gives you a bunch of pullout menus - which may be new to you - so select "Stylize" and from that select "Drop Shadow".
No, I didn't say this was easy, but the effect is worth the trouble!