@Lindzee I don't use PSE (in PS you can easily do it by right clicking on the Fx and chose Create layers - I'm guessing this is not an option in PSE?) so I found this on another scrap site posted from Amanda Brown she's using PSE 10
"1. Add your desired drop shadow to your element/shape.
2. Open the fx (Style Settings) window (either double click the little fx icon to the right on the selected layer or go to Layer - Layer Style -Style Settings).
3. With the fx window open, click on the shadow area of your layer and you can drag the shadow wherever you want. Drag it far enough away from your object to give space for cutting. Click ok and exit.
4. Simplify the selected layer. Use the rectangular marquee to select your shadow. Right click and select "Layer via Cut" and voila! Now you have your object on one layer and your shadow on another. "