Cut/ply & shadow effect - how to do it?

Ok, I want to thank so much both Arelthia and wcardinal first of all!

And then share the "algorithm", based on both advices - for those who may be interested in this effect!

So, in PS:

1 create a new project
2 create a new layer
3 create a rectangular selection on this new layer
4 inside the rectangular selection use the gradient tool -black to transparent- in vertical direction (use shift to draw perfect straight line)
5 select the elliptical marquee tool and give it a feather (I used 5 px, but I think the bigger the picture the more pixels)
6 draw a very streched elliptical selection on the faded rectangle - the ellipse horizontal edges must be within the rectangle ones, at least, per edge, the pixels you set as feather (but I suggest you to abound); the upper half ellipse must be empty while the lower half must start where black starts and end where the black starts to fade
7 invert the selection and delete
8 deselect with ctrl+d
9 lower the layer opacity in the layers palette to whatever percentage you like
10 duplicate this layer
11 select the duplicated layer (if not already), press V on keyboard and move the layer upwards one pixel (one upwards arrow key hit)
12 assuming that the original layer is under the copied one, select the original one, than select this layer's content by pressing ctrl on keyboard and clicking the rectangular icon of the layer in the layer palette
13 with this active selection, select the copied layer and press delete
14 deselect with ctrl+d
15 press V and move one (or two, as you like best) pixel upwards the copied layer. Voilà!

If you want a background color, be sure to put it on a different layer (under the rectangular then elliptical selection one).

Hope this helps!