Hmm, yes you should have layers styles for drop shadows and for bevels. I don't have PSE 5, but I can't imagine they aren't supposed to be there. Was it greyed out? Maybe the layer was locked?
To answer the first question, I often do custom shadows where I place the shadow on a new layer and manipulate that. I get more control that way, I have a
tut on my site that should work in PSE 5 too.