Erm. You need to learn how to use it.
Take the layer that has your borders, and duplicate it. Put the duplicate layer below the borders layer.
Select the duplicate layer, then select drop shadow effect. Now you get the drop shadow window. There are several options:
X & Y: these define how far the shadow is cast. For example, if you put X in 3 and Y in 2 then the shadow goes from the original object 3 pixels to the right and 2 pixels down. Negative coords are possible to use.
Widening radius: this defines how much the shadow grows. 0 is the same size as the original object. 1 is 1 pixel more, 2 is 2 pixels more, etc.
Blur radius: this defines how much the edges of the image are blurred.
Opacity: 0 is fully transparent (invisible), 255 is fully opaque
Colour: the colour of the shadow. If you set it to white, you can use it to make glows around objects.
Keep original image: check this to preserve the object that is casting the shadow. Since we made a duplicate of the layer, this should be unchecked.
Now, when I apply drop shadow on borders, I usually set the first 4 values each to 1. Opacity I set somewhere around 190-200, and colour black, and uncheck "keep original image".
Note that the drop shadow is an object effect, ie. it works on opaque elements surrounded by transparent pixels, such as border layers, text layers, etc. If you try to use it on a fully opaque layer, like your background layer, it will not work.
The reason I usually duplicate the layer I'm using it on, then uncheck the "keep original" box, is because this way I will have the object on one layer, and it's shadow on a separate layer, I can then edit and modify these independently of each other.