Hi, welcome to the Paint.NET forums.
OK, to answer your questions:
1) Here is the "Paint.NET manual". It is a must read for beginners, with oodles of helpful information.
2) A friendly Paint.NET user, Wither, created an interactive flash guide to help users with Paint.NET. It is highly recommended that you use this guide. Highly.
The Highly Recommended Flash Guide to Paint.NET (by Wither)
A downloadable version is available here.
3) About your drop shadow question. All you have to do is download this Drop Shadow plugin. If you don't know how to download and use plugins, here are the steps:
1. Download the file.
2. Extract to C:\Program Files\Paint.NET\Effects
3. Restart Paint.NET if you had it open.
4. Enjoy!
4) If you still have questions:
1. Go to searchpaint.net and search to see if your question has already been answered before.
2. If not, simply make a thread in General Discussion & Questions, and wait for our friendly community to help you.
As I said, welcome to the forums, I hope you enjoy your stay.
EDIT: Beaten by Myrddin again.