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.