To setup this effect is not difficult. It only involves CSS and a shadow image. First what you need to do is download this shadow image and upload it to your theme image folder. Like in my case, I uploaded it into /images.
Then, what you need to do is open your theme CSS file, style.css, and paste this code.
background: url(images/shadow.gif) no-repeat right bottom;
padding: 4px 10px 10px 4px;
border-top: #eee 1px solid;
border-left: #eee 1px solid;
Once finished, save the file and upload it back to your theme folder. As you can see in the CSS code above, the drop shadow will only work on images that are inside .entry class. Change the class name based on your theme structure.
Note: This trick is not limited for WordPress only. You can also use it on other websites other than WordPress. It is just CSS.