To create a custom layer style, right-click on a layer in a document or choose Layer>Layer Style>Blending Options. This opens the Layer Style window (click for screenshot). Select blend mode, opacity and any blending options you wish to apply and configure the settings to your requirements.
When you are satisfied, check on the click "New Style" and save the style. You can choose whether to include layer effects and/or blending options as part of the definition.
Selecting the Styles tab at the top left (screenshot) allows access to the drop-down menu so that you can manage Photoshop styles. You should remember to save the new styles you create so they can be reloaded in case Photoshop should crash and lose the definitions.
Drop Shadow
One note about using this popular effect: by default, the Global Light option is checked. If you wish save a custom style with a shadow angle other than that specified under Layers>Layer Style>Global Light, you must remember to uncheck the Global Light option in the Drop Shadow Structure box.