Open a new document at 640 x 480 pixels (File> New) with a transparent background color. Draw a shape with 4 angles (or more if you like) by using the Path tool ().

Once the shape is created, select this tool in the Path section, and draw rounded shapes, from the points out to the image border. Once you're done and have the desired shape, with the Path tool () right-click the mouse button to display the menu. Select: Fill Subpatch. You will get a menu with these options: Foreground Color, Background Color ... Select: Fill with Foreground Color (the color in the menu tools will fill your shape), as seen in the image below. Once the image is full, create a new layer (Layer> New> Layer). Draw an elliptical shape in your new layer. Fill the elliptical shape (Edit> Fill: with the same Foreground color as the first shape, or another, it's up to you).

Now add a bevel emboss effect (Layer> Effects> Bevel Emboss) to the elliptical shape.
Set options to the following (see below):

Do not forget to check the "down" option to get a perfect effect. Once done, still on the elliptical shape's layer, add an inner shadow effect (Layer> Effects> Inner Shadow). The simple steps are done!! You should get a menu similar to the one shown below, on the right. If it is not the same, repeat from the start ... (when I say the same, I am referring to the effect, not the shape).

From this step on, we need the Alien Skin's eyecandy plug-in. Download the demo [Here], though I really suggest you buy the complete version, ...this plug-in is simply one of the best! It provides various handy effects. For example, eyecandy has a plug-in for an exceptional flame effect. Anyway, enough about eyecandy! Let's get on with our tutorial!! You need to apply eyecandy's "inner bevel" filter (Filter> Eye Candy 3.01> Inner Bevel). Choose the same options as shown below, pay attention to the arrows, they are very important elements:

Once the effect is applied, you're "done"! You will have the same menu as the one on the left. Of course, you can change colors, effects ... everything comes with practice and tons of ideas! In time, you will be capable of creating menus such as the one on the right, below.