STEPS TO CREATE A DROP SHADOW

1. Using the Text tool, write your name (or whatever else)
2. Right click and rasterize that text (you can no longer edit it after this)
3. Drag that layer to the new layer icon to duplicate it
4. Lock the tranparency of one of the layers
5. Once you've locked it, you can go to Edit, Fill, Black
6. Unlock the transparency
7. Filter, Blur, Gaussian blur
8. Make sure that layer (shadow) is underneath the top layer