As you probably know, Flash 8 comes with a nice set of filters and effects that can be apply very easily like in photoshop but no need to worry if you are still using a previous version of Flash as there is some tricks to create some shadow effects, here is one of them :
1. Create a new FLA
2. create any type of shapes, for our example let's create a 100x50 orange rectangle (Fig1) with a black stroke height of 1 and a default Solid stroke style (Fig2)
Fig1
Fig2
3. Double click on the stroke to select it (Fig3) and select Modify / Shape / Convert Lines to Fills(Fig4)
Fig3
Fig4
4. With the new converted stroke still selected go in Modify / Shape / Soften Fills Edges (Fig5)
Fig5
in the parameter window that appears on the screen (Fig6) set Distance to 4, Number of steps to 4 and Direction to Expand
Fig6
5. With the expanded stroke still selected press F8 and convert it as a Movie clip that you can call "shadow". With Movie clip selected set the alpha to 20% (Fig7), you should end up with a rectangle like the one shown on Fig8 which represents our final version, quick and easy :)