In case you don't want to download that, you could just do it like this:
[code:1:05ccde33bb]
<span style="FILTER: DropShadow(Color=#0066cc, OffX=5, OffY=-3, Positive=1);width:300px;font-size:20pt;">DropShadow Filter</span>[/code:1:05ccde33bb]
This is a direct quote from a website that shows how to use all of the IE filters:
http://www.ssi-developer.net/css/visual-filters.shtml