There are so many possibilities, technique-wise depending on the image and it’s intent so try this as a starting point, and you’ll get the idea. If you have more specific questions, come back and ask.
Create a new image, and make sure that the background is set to transparent in the New Image Dialog. Now, click on the rectangular marquee and draw a box. From the Menu choose Edit|Stroke. Make it like 10 pixels, and have Preserve Transparency UNChecked.
You should now have a black box outline. Look at the layers pallet. At the bottom is a little "F". Click that and choose Drop Shadow. A dialog comes up that allows you to do all kinds of wonderful things. Look at your image – your box has a drop shadow, and you can increase or decrease its size, direction of lighting, and a bevy of other things.
You can search in the Helpfile for Layer Styles to find out more.
Peace,
Tony
Anytime you want a tutorial, simply do a search for it on your favorite search engine like google. If you then have problems achieving the effect, ask here for help.