If you want drop shadow, you'll have to matte (background color) for the color of the page on which you are displaying. JPG doesn't support transparency. GIF only supports on/off transparency, not true transparency and a drop shadow is certainly going to look like garbage in a gif file unless that gif is matted for the background color of the display context.
I would start with HTML and then move to photoshop once you know that backwards and forwards, just IMPO.
