The 'Down Stage' of a button is usually used for a javascript mouseOver button. First open up the PSD file with your button.

Duplicate your button layer, Layer> Duplicate Layer. Then Ctrl-Click on the new duplicated layer. It should select your button. Now Inverse(Ctrl-Shift-I) your selection. Go to Edit> Fill> 80% Black. Now De-Select(Ctrl-D) your selection and using your arrow keys, (make sure the move tool is selected) and move it 3 pixels down and 3 pixels to the right.

Now Ctrl-Click on the original button layer. With the duplicated layer active, Inverse(Ctrl-Shift-I) the selection and hit your delete key. There, that's your down stage! I added an 'inlayed' effect into my image to add more depth to it.