Show me how to do it
It's just padding in the container ...
The shadow? Just look at the source how it's done here... it's a transparent png, you have to be careful with it since old versions of IE do not support transparency in PNG images.
@all: please teach me to do it
You need to put the page in a div and give that div a background of the image, needs to be 940px wide. Look at the source here and see how it's done, as frost said, it's just a div with a background.