Paste an alien image--on its own layer--onto a new background.

Duplicate the "alien" layer (Control + J) and move the copied layer underneath the original.

Control + Click on that layer and fill with black.

Select Edit > Transform > Distort, grab the top center handle and move the shadow to where you think it should be, of course, depending on where the light source is coming from (the Milky Way Galaxy is 80,000 light years across--pick a star).

Filter > Blur > Gaussian Blur at a 2.0 setting.

To "curve" the upper half of the shadow so it looks more realistic against the wall, make a selection with the rectangle tool, choose Edit > Transform > Distort once again and pull the center handle upwards.

Looks a bit more realistic, to be sure.

Add another Gaussian Blur using a setting of 2.0 and you're done.