Several ways of making shadows... here are a few tutorials on shadows
http://www.good-tutorials.com/search/query/shadow
Also, for the circle, a couple of quick ways to do it in PS:
Circular Marquee tool- Shift-drag a circle on a blank canvas, go to edit-stroke-then set your stroke to whatever thickness and color you want and it will fill it.
Another way, create a circle in Illustrator and bring it into PS.
For other shapes, use the pen tool and create a path. Then choose a brush and click "stoke" on the path pallet.
There's a couple of quick ways to make a circle.