Drop shadow support was added in version 3.32. If you don't already have version 3.32 or higher, download the latest version here: http://www.acoustica.com/cd-label-maker/download.htm
You can make shadowed text using the following procedure:
- Click on the text to select it.
- From the Text menu, select "Drop Shadow..."
- Put a check mark next to the "Add Drop Shadow" option.
- Choose a preset, or adjust the settings if needed.
- Click OK to save your settings.
- You've got drop shadows!