Is there a way you can make text shadow on PSP 9
or paint?

There should be a blending option that will allow you to add shadow and other effects.

go to layer pallette, choose and right click on text layer and the blending option will pop out.
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lol i forgot, this one apply on photoshop.

well, on my psp8, i go to effects, and then 3D effects, and afterwards, dropshadow.
will that work?

For Paint, I think you can make your text say..blue?

And then make another text and move that text a bit down below the blue.