This tutorial is made in Adobe Illustrator CS2, however it should be no problem if you use an older version.
Select the Pie Chart Tool in the toolbox.
If you double click the graph icon in the Toolbox you can set the preferences of the graph.
The preferences are available (and will be applied) even after you've created your graph.
Draw a square (press shift key while dragging your mouse).
Enter your data in the datasheet (labels in the first row and values in the second).
The result should look similar to this.
Use the Direct Selection Tool (the white pointer / press A) to select only 1 piece of the pie to change its color.
Use a different gradient for each slice of the pie and add a 1pt white line.
Alter the gradient's direction of each slice 1 by 1. In Illustrator CS2 you can do this all in once by selecting the entire pie. Don't forget to do the same for the legend.
Notice that I've changed the rectangles to squares.
Add a circle with a 4pt border and transparant fill on top of the pie (pure to add an extra nice touch).
Instead of using the dropshadow effect I've decided to draw another circle below the pie to create the soft shadow.
The circle has a radial gradient from black to white, 40% opacity and the mode is set to Multiply.
If you want to use the dropshadow feature, you need to expand the graph (Object > Expand) which means you can't alter (update) your pie data anymore.
If you want to expand your graph, you need to make sure your datasheet is closed.
Use the Direct Selection Tool to select the legend colors and go to Effect > Stylize > Drop Shadow
Choose Multiply as mode and enter 10% of opacity, an x and y offset of 1.5 mm and no blur (0 mm).
You can still update your data by control + click / second mouse button click on the pie and choose Data in the contextual menu.