In 2007 you'd achieve the shadow effect by Inserting a rectangular shape from
the Insert tab on to your cell.
Draw it the same size as your cell, right on top.
With the shape selected, switch to the Drawing Tools->Format tab and set the
Shape Fill to "no fill".
Then you can experiment with the new graphics -- shadows, glows, blurs, etc.
The shape will conform to your cell, so if you insert or delete rows,
increase/decrease cell size, etc. the shape will change as well (so you don't
need to keep manually adjusting it)