As far as I'm aware, the Label component doesn't have a drop shadow option, but you can accomplish one by placing two labels on top of each other with the bottom one shifted slightly and a different color. If you'll be using it a lot, then you may consider creating a custom component.
My Channels: http://roku.permanence.com - Twitter: @TheEndlessDev
Instant Watch Browser (NetflixIWB), Aquarium Screensaver (AQUARIUM), Clever Clocks Screensaver (CLEVERCLOCKS), iTunes Podcasts (ITPC), My Channels (MYCHANNELS)