Step 1
Open up a new document in the size you want. This is the quick and easy part... adding the cool falling letter...
Make sure that your background is White, press 'D' on your keyboard to reset the colours. Now go to Filter>Texture>Grain

Step 2
Use the settings: Intensity=100, Contrast=100, Grain Type=Vertical.

Step 3
Next go to Filter>Art7istic>Neon Glow 

Step 4
Use the settings: Glow=5, Glow Brightness=20 and use a green glow colour.

Step 5
The colours may seem wierd, but trust me it will look good soon! Just go to Filter>Stylize>Glow Edges 

Step 6
Use the settings: Edge Width=1 Edge Brightness=5 Smoothness=1

Step 7
It should now look like this.

Step 8
Now to add the dropping effect. Rotate your canvas by going to Image>Rotate Canvas>90° CW. Right click on the layer and select duplicate layer (as shown below).

Step 9
This step shows the rotationi and duplication of the layer.

Step 10
Select the Background Layer and go to Filter>Stylize>Wind and check Method=Blast and Direction=From the left. Now press 'ok'.

Step 11
Final Copy should look similar to this.