Now go to the layers palette, click on the bottom layer - (Layer 1) and click on the "New Layer" icon to get a new layer (Layer 3). This will be a shadow. Re-select the Elliptical Marquee Tool and draw a "shadow" as in the final example to the right.

Note: Because the Shadow is on its own layer, you can move it to it's final position with the Move Tool. Finally, making sure you are on the Shadow layer, go to Filter...Blur...Gaussian Blur to make the shadow more realistic.