Text boxes with transparent shadow edges

[Newbietoo]

Can anyone tell me (or point me to a tutorial) how to create the edge and corner gifs for a text box that has a transparent shadow edges? Like the one shown below.

The principal problem I'm having is the shadow layer, where I need GIF's with a couple of blurred sides and "hard" edges on the other two sides where they abut the other GIF's (if you get my drift)

Thanks