I guess you have done it without using GDI. your code may look somewhat like below.
.....
dc.SelectObject( &somebrush );
dc.RoundRect( x1, y1, x2, y2, p1, p2 );
......
now to bring the shadow effect change the code as below.
......
CBrush shdwBrsh;
shdwBrsh.CreateSolidBrush( GetSysColor( COLOR_BTNSHADOW ));
dc.SelectObject( &shdwBrsh );
dc.RoundRect( x1+5, y1+5, x2+5, y2+5, p1, p2 );
dc.SelectObject( &somebrush );
dc.RoundRect( x1, y1, x2, y2, p1, p2 );
............