How to Create Photoshop Shade Effect
Before we start the tutorial, here is a little diagram about how light might hit an object. Here we have a square object in the middle with light coming from the top left. You can see that where the light hits the object, a shadow is cast on the other side.

Note that the shadow is not a Photoshop drop shadow, which makes the object look like it's
hovering above the canvas. Here we want the object to look like it's a three dimensional thing stuck
on the canvas, extruding if you like. Now tell me what other Photoshop tutorial site gives you
diagrams? It's like being back in school!