Firstly we want to start off by creating a specified size document, for this i am going to use a width of 111 pixels and a height of 28 pixels.
I find that instead of having a transparent background it's better to have it the colour of the actual background where we are going to use our button.
So for instance because the background colour at the moment being #2C2C2C this would be a wise colour to use for my background, but because i want you to be able to see what I'm creating I'm going to select #1194C5.
So we are now going to fill our background with the our selected colour.
We should have something like the following:

Now our specified tool for this tutorial is going to be Rounded Rectangular Tool.
Select this but be careful we want to set the radius (found at the top of the screen) to about 25 px.
We now want to go from the top left corner to the bottom right leaving a 1 pixel gap.
We should have something like this:

Now we are going to put a gradient overlay on our shape.
Go to blending option and select gradient overlay.
Make sure you select colours which will be lighter and darker that your background.
For instance I'm using #047CC1 as my dark colour and #66C3F9 as my light colour, but keep in mind my starting colour is #1194C5.
Now we want our dark colour to be at the top of our shape to give the effect of shade and our light colour to be at the bottom giving the effect of light, so if your colours are not this way on the gradient overlay select the reverse box.
We should now have something like this:

We are now going to use another shape about 4 pixels smaller than the created shape in Step 2.
And also give it a gradient overlay but opposite to what we did in Step 3. and slightly darker.
I'm going to use the colours #036BA7 for my dark colour and #39B0F5 for my light colour.
We should now have something like the following:

We are also going to add a bevel so go to blending options.
Depending on the size of your button I recommend you play around with the setting to get the bevel looking right, I'm using a size of 7 px and soften to 16 px.
But I also suggest we edit the shading colours because I find the original white and black colours too hard.
For my highlight colour I am going to use #79CDFD and for my shadow colour I am going to use #005881, but again I suggest you custo9mise it because you may be using different colours than me.
We should have now created something like the following:

All we do now is simply add text, entirely up to you depending on your button size.
I am also going to use a colour which stands out on my button, this is not something you have to do.
WE'RE FINISHED!

We should of created something like the following:

I also added another effect to make it look more 2D, I created this:

If you haven't already read my tutorial on doing this, click here.