to add a drop shadow to your button (or anything for that matter!) make sure your button is on a serperate layer to any background you might have, then right click on the layer and select blending options (or double click the layer) next tick the drop shadow tickbox and play with the settings until you get something you like. you can also drag the shadow manually if you click and drag on your image whilst the drop shadow dialogue is open.
hope this helps
ps you can make your drop shadow more permenant ie not a layer style anymore by creating a blank layer beneath your shadow layer and then hitting ctrl + E to merge the 2 layers and get rid of the layerstyle but keep the shadow. This is a usefull technique that i use often.