in PSE6 it's some sort of style option I think. I don't have PSE6 open so trying to remember . . .
might be a layer style. you can choose what sort of drop shadow you want. an fx appears in the layer pallette. you click on that to adjust the color, size, distance and angle I think.
when you have the drop shadow box open you can also just click on the shadow itself on your layout and drag it around.