Just pick two colors, like any other gradient, but in your gradient type, choose Radial, not Linear.
You can set it up in layer styles, or just click "G" to get your gradient tool, and draw a line in your layer.
Try to make a new layer, fill it with black, go to layer styles, and there choose Gradient, set it to Radial, and choose your colors.
Also, your Gradient tool is a bit messed up, choose it, click on box where you can choose colors, and choose your first default black/white style. Currently, your opacity is down.