Most website templates allow you to create a shadow effect by customizing your css. The specific css file that governs your site backgrounds is the bg.css. This css is accessible through the advanced styles tab, found in Site Configuration.
In most templates, there is a div surrounding the main site called div#pageWrapper. So to create a shadow, you'd want something like this:
div#pageWrapper {box-shadow: 0px 2px 25px 5px #000;}
There is also a useful 3rd party tool for generating shadow css effects found here: http://www.westciv.com/tools/boxshadows/index.html. You can generate your shadow with this tool and paste it into the css.
PLEASE NOTE: Customizing your css is for expert-level users only. This is not supported by standard product support.