Photoshop is very good at drop shadows, you don't need third party filters to get a good effect. Just right click on the layer you want to add a shadow to, and click "effects". A shadow will automatically be added to your layer, and then it's just a matter of tweaking it until you get the desired effect. Play with the opacity and colours of the shadow, and you will be surprised at the great results you can get.
You can also paint your own shadows with the airbrush too, just select the area you want to add the shadow to, then invert the selection, and then you can airbrush around the selection using a low flow rate.(if you make it on a new layer, you can always remove it if you don't like it, and you can also play with the layer blending settings.) I often use this method for adding shadows to spheres so that I can get just the right shape.
The main point is that you should try to master Photoshop without resorting to third party stuff, it's ultimately more satisfying.
Good luck.
