+1  A: 

I think that is part of the OS's doing. Like there is also a shadow on menus in eg. notepad. Not familiar with Vista I have to say, but it's safe to say that it's OS specific.

lithorus
Hmmm, that's an interesting avenue to go down.
Mat
A: 

You can set the background color to transparent via css:

background-color: transparent;

+1  A: 

Use the following CSS statement:

-moz-window-shadow: none;

See also Firefox internal CSS stylesheet (mac version) for its bookmark panel.

Roger