Standard Drop Shadow
Using Adobe Photoshop 5.5

Before

After
1) Open Image
Go to File and Open. Find your image and select open.
   
2) Image, Mode, RGB
Go to image, go down to mode, and then down to RGB Color
   
3) Make Background a Layer
Double click on the Background layer and rename it to Layer 0. If the layers palette is not showing go to Windows , Show Layers.
   
4) Increase the Canvas Size
Add at least an extra inch to both the width and the height
Example:
Width is 4 add a inch, so now it is 5
Height is 5.5 and a inch, so now it is 6.5
   
5) Change Background to Layer 0
Double click on the background layer. Select OK the layer will be called Layer 0
   
6) Select only the Zebra
Select only the zebra using the Marquee tool.

 
   

7) Make Zebra Seprate Layer
To make the Zebra on a seprate layer go to

Layer, New, Layer Via Cut
   
8) Go to Effects
Right click on the zebra layer. Then choose Effects.
   

9) Effects
To add a Drop Shadow make sure Drop Shadow is selected as the effect and that the apply box is checked. You can also change the color, opacity, angle, distance, blur, and intensity. Once you have adjusted the shadow select OK
   
10) Crop the Final Poduct
Crop the final product to get rid of and extra canvas.