Curved shadow in Photoshop

1. Create a new layer, select Ellipse Tool (U) and draw a shape:

2. Cut it in half (or the shadow won't look good later):

 

3. Right click on the layer and choose Convert to Smart Object.

4. Apply Gaussian blur filter: Filter - Blur - Gaussian Blur... (I chose 4 px for that):

5. Right click on the layer and choose Rasterize.

6. Cut off or hide the half you don't need: