Creating the shadow

I took a look at http://www.web-specials.net and on the splash page, it has that lite “grey shadow” around the central image. I assumed it was layer>layer style>outer glow but I dont think its the right way. What is the right process of making that “grey shadow” effect?

My steps have been so far:

  1. draw some rectangles with rectangle tool
  2. put colors on them
  3. layer>layer style?