Hi Bobby,
Most likely you are attempting to apply the layer styles to your Background, which is essentially the "ground" to make an analogy, and the ground doesn’t cast shadows. Only objects above the ground do. What you need to do is create a 2nd layer that you can place below your image layer, before applying the drop shadow to the image layer. Also, if you’re going to see that shadow, then it needs to be cast down onto a visible area that extends out from the edge of your image layer. Does that make sense? Here’s an easy way to go about this:
1) Use the Canvas Size command to increase both dimensions of your canvas to 105% of the original size, leaving your image centered on the canvas so as to produce a uniform margin around the image.
2) Double-click your current background so that it is converted into a new layer.
3) Shift+Ctrl+N (or use Layer menu or Layer palette drop-down) to create another new layer. Initially, it will be positioned above your first image layer, meaning it is the foreground layer.
4) While your new second layer is still the active layer selection, go ahead and fill it with white (easiest to see shadow effect against), using the Fill Tool.
5) Now, in the Layer Paletted, drag your white layer below your image layer so that the white layer is now in the background, the result being a white margin around your image.
6) Finally, select your image layer and apply your drop shadow effect in the Layer Styles and play with all the options you like to experiment with the various effects you can obtain.
Regards,
Daryl