I should have known that because of your City Scapes tut.
Maybe this is what you want:
1. Select the layer with the object you want to have a shadow.
2. Click the fx button at the bottom of the Layers Panel.
3. Select Drop Shadow, which will bring up a dialog box.
4. adjust the opacity, distance, spread, size to what you think you'd like (they can all be adjusted further, later on).
5. With the dialog box still open, go over to your canvas, and use your move tool to drag the shadow from behind the object, placing it anywhere you want. When you close the dialog box it will stay where you put it, but if you change your mind, you can open the dialog box again (fx>Drop Shadow), and it will magically be movable again.
I hope this is what you mean, and this helps.