A drop shadow is a graphical shading technique used by the GUI of Windows XP and later versions to give the illusion of depth to an object.
A shadow is placed on the image (for instance, an icon on the Windows XP desktop, which makes the icon appear to stand out above the desktop, giving the illusion it is more prominent, though this tends to work best when the background of the desktop is light colored.
The text labels of icon often have drop shadows as well, which makes the text stand out better for the purposes of clarity.