This will not apply to the Background layer. You have to have another layer to apply it to.
Click on the layer you want to apply the style to.
Open the Syles Window.
Click on the syle you want to apply to the selected layer.
If you want to apply a style to a layer that has a baloon shape on it, you have to create a new layer.
Select the Shape Tool.
On the top menu, select a shape.
Drag your balloon shape.
Go to the Paths window and change the path to a selection.
Fill the selection with a color. White in this example.
Now, with this layer selected, you can open the Styles window and click on the style you want to apply.
You can customize your style and save it as a new style.