From QuarkXpress 7.3.1 help menu:
To create text with a drop shadow, put the text in a box with a background of None, and apply the drop shadow to the box.
When you apply drop shadows to several nongrouped items, the items can cast shadows on each other if they overlap. When you apply a drop shadow to a group, however, the group as a whole casts a single shadow.
You must have Drop Shadow XTensions software loaded in order to open a project that uses drop shadows.