You've got a couple of options.
Option 1, any format.
Start with a plain white image, put a black (or grey) spot on it and blur it to hell. Use multiply blend mode (alpha doesn't work with multiply so the closer to white the spot is the more subtle the shadow will be)
Option 2, PNG.
Create a black (or grey) spot on a layer in PSP or something, blur it to hell, save it with transparancy, load it into blitz with loadtexture("shadow.png",2)
Option 1, any format.
Start with a plain white image, put a black (or grey) spot on it and blur it to hell. Use multiply blend mode (alpha doesn't work with multiply so the closer to white the spot is the more subtle the shadow will be)
Option 2, PNG.
Create a black (or grey) spot on a layer in PSP or something, blur it to hell, save it with transparancy, load it into blitz with loadtexture("shadow.png",2)