Turn the "dial" (lighting angle) until you get the shadow you like. Then click OK.
Another method to creating a shadow (and the method I personally prefer) is to put your cursor on the element and "pull" the shadow away from the element.
NOTE: you have to be in the "Show Style Settings" (see above) or this method won't work.
Here's my finished tag. I almost always make my shadows go to the right and a little bit below the element. Be careful, if you're shadowing lots of elements, that your shadows are all going in the same direction. You don't want your shadows going all over the place. Think of a light hitting somewhere at the top of your page (I picture the light at the top left) and imagine how that light would hit your elements, causing a shadow on each one.
As I said starting out, I've been using a blank, white document for clarity's sake, but you'll be repeating this process right on your scrapbooking page. I hope this has been helpful and I'll be back next month with another tutorial.