Go ahead and create a new document. I’m just using 640 x 480.

Now, grab the Rounded Rectangle tool and click and drag an oblong shape on your document.

It doesn’t matter what colour the shape is at the moment.
Next, double click on the layer in the layers pallet. This will bring up the Layer Style Dialogue. Click on Gradient Overlay and then click on the gradient you see in the middle.

Next, enter in the following to get the effect we’re after...

Colours from left to right...
#868686, #202020, #e7e7e7
Positions from left to right...
17%, 37%, 84%
Next, OK that window, and click on Bevel and Emboss. Enter the following...

Next, a drop shadow with the following settings...

You should have something like this...

So, this looks fairly ok. But you want some colour don’t you? Remember the original colour that your shape was? Change that to whatever colour you want the button to be. Next, go back into layer styles and change the opacity of the Gradient Overlay. This will let some of the colour through. Mine looks something like this...

Add some text...
Layer Styles:
Colour overlay #FFFFFF,
Stroke 2px #000000,
Outer Glow #FFFFFF blend mode: normal

And you’re done! Play around with the colours and the position of the gradient for a different effect.