To have graphical effects like shadows, you're going to need a more advanced program than the standard MS Paint. I for one use Photoshop, and find it the best program out there, but it is quite expensive so if you're looking at a cheaper option (free) I would recommend downloading a program called 'The GIMP', which is a freeware graphics program.
Search arond the net for some tutorials (it's been a long tim since I used it) and I'm sure you'll be using all the effects you ever wanted in no time at all.