If you dont want to edit the picture, use my method: Create a black picture at runtime with gs which has got the same size as the pic without shadow. Now Simply move it orig.x - 5, orig.y -5 and thats it. Probably chnage the alpha value to 50 for a better result
If your window's size is static and If you've got some image-editing-knowledge you should go with krial057's suggestion.
But if your window's size is adjustable (or changes at runtime) I suggest you to use Ch40zzC0d3r's method: Simply create a new panel and set a black 8x8 picture (can be generated at runtime) as panel-bmap.
The idea behind this is that textures with a resolution of 2^n (minimum 8x8) will be tiled if the panel's size_x or -_y is bigger than the texture.