OK. I will give it a shot.
First make a new layer
Then make a rounded corner rectangle. There should be one nested under the marquee tool.
Once you have your rectangle, fill it with whatever color you want it to be. Then rename it original. I would also save after that.
Matter of fact, I would save after you complete each layer.
Next duplicate the layer.
Now, press ctrl/cmd+click on the layer, the little box in the layer that shows the shape in the layer. You should get the marching ants around the rectangle if you did it right.
With the rectangle selected goto the top menu bar and hit select menu and then scroll down to "modify". From the modify menu select contract. Depending on how big the button is you will only want to contract it by 1 or 2 pixels. Once you do that, hit delete and then deselect by pressing ctrl/cmd+D.
You should have effectively made a boarder the same color as your rectangle. Rename layer as boarder.
Now that you have the boarder. Do the ctrl/cmd+click on the layer to get marching ants around the boarder.
Now get the gradient tool and set it to the reflect patterb (the one that goes from black to white to black) . Set the colors to white->transparent.
From the center of the rectangle click and drag it to either the left or right. I would also hold shift down while dragging for a straight line. Now if you want a lot of white on the boarder, you will need to pull the gradient past the edges of the rectangle. The farther out you go, the more white. The more you stay in the rectangle the less white. Then deselect again with ctrl/cmd+D.
Now with that done, duplicate your original layer. Then drag this new layer below original layer.
Press the letter V on your keyboard and then press the down arrow key on the keyboard. This will lower the new rectangle below the original to give it that depth or shadow look. I would then make it a darker shade of the original layer color. And rename it something like "shadow" or "depth".
Now for the circle.
Make a new layer either above all the current layers, or in between the boarder and original layers. Your choice.
Now in that new layer, grab the circle marquee tool (again nested in the marquee tool) and make a circle.
Now grab your gradient tool and set it to the default pattern (the one that goes from white to black). Change the colors of the gradient to the color of the original layer and either a black or to the darker shade you used for the depth/shadow layer.
Click inside your circle and drag it so that the darker colors is on top and the lighter color is on the bottom. If you don't get it the first time, just undo the action and do it again in the opposite direction. I would pull the gradient a little past the circle so that the lighter color doesn't completely blend into the original layer. Then rename it circle.
Now for the arrow. I personally would use the pen tool. But I'm now sure you know how to use the pen tool. If you do, make it with that. If not, use the lasso tool. Specifically the polygonal lasso tool. This is nested behind the regular lasso tool.
So, with the polygonal lasso tool selected, make a new layer above the circle layer. I would zoom in on the circle to make this easier, and draw yourself an arrow with the lasso tool.
With the polygonal lasso you will want to start by clicking on a point inside the circle and the clicking on a new point to create straight lines. Just repeat the process until you have come all the way back to where you first clicked.
If you did it right, you should have marching ants in the shape of an arrow. Once you have that, then just fill it in with white and you have an arrow.
And if you need text on the button. Just grab the text tool and make a layer of text between the boarder and the layers below it.
I hope this helps. I wrote all that from memory and from my phone. So if something is off just ask.
Never go to the Library without your shotgun.
