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Are you using Adobe Photoshop or Illustrator? <br />
I am not familiar with Illustrator but in Adobe Photoshop, I use this:<br />
<br />
1. Click on the layer where you want to place the Drop Shadow effect.<br />
2. Layers &gt;&nbsp;Layer Style &gt;&nbsp;Drop Shadow.<br />
<br />
Easy. :)
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Are you using Adobe Photoshop or Illustrator?
I am not familiar with Illustrator but in Adobe Photoshop, I use this:

1. Click on the layer where you want to place the Drop Shadow effect.
2. Layers > Layer Style > Drop Shadow.

Easy. :)

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Illustrator...Photoshop is pretty straight-forward. Thanks.
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Illustrator...Photoshop is pretty straight-forward. Thanks.

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I found effect-- I was doing as SheharyaarSaahil suggested, but my eye focused on the Photoshop divider instead of the Illustrator effects divider.
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I found effect-- I was doing as SheharyaarSaahil suggested, but my eye focused on the Photoshop divider instead of the Illustrator effects divider.

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Seems easy enough, but the help file says <br />
<br />
Choose Effect &gt;&nbsp;Stylize &gt;&nbsp;Drop Shadow or Filter &gt;&nbsp;Stylize &gt;&nbsp;Drop Shadow. <br />
<br />
But when I select the layer, all I see is Choose Effect &gt;&nbsp;Stylize &gt;&nbsp;Glowing Edges...<br />
<br />
How do I create a drop shadow on test or images?
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Seems easy enough, but the help file says 

Choose Effect > Stylize > Drop Shadow or Filter > Stylize > Drop Shadow. 

But when I select the layer, all I see is Choose Effect > Stylize > Glowing Edges...

How do I create a drop shadow on test or images?

How do you create a drop shadow?

Illustration software is distinguished from photo-editing software in that the result is an original construction, rather than the manipulation of a photograph. Illustration software uses vector-based tools such that the content is stored digitally as resolution-independent mathematical formulae describing lines (open paths), shapes (closed paths), and color fills, strokes or gradients. Vector paths are constructed of anchor points and path segments. Illustration tools typically create precise lines, shapes and patterns with well-defined edges and are superb for working with complex constructions such as maps and typography.