I'd start by trying the Buffer Wizard if you haven't done so already. It will basically create a series of buffers around the lines. If you make them so that each is just slightly larger than the last and set the color to go from a dark grey to a light grey, you might be able to get the same effect. The hyperlink explains how to access the tool. You have to go through the Customize Window and add the tool to an existing toolbar.
The shadow you see looks like it's on both sides of the line. What you can do is buffer any line features you have, and then play with the symbology to simulate shadows. Setting transparency on the buffer layer will also give you a good effect.
You can try Euclidean Distance (Spatial Analyst) around the lines with specified Maximum Distance and reasonably small cell size. Then symbolize distance raster as Stretched and adjust color ramp or/and stretch histogram. The effect is like in the following picture (this method doesn't give true shadow). [ATTACH=CONFIG]18030[/ATTACH]