Step one:
Create a new blank document, then add a new blank layer by clicking on the New Layer icon at the bottom of the Layers palette. Switch to the Ellipitical (round) selection tool and draw a circular selection on this new layer.

Step two:
Set your foreground color to the color that you want to be the primary color of your button (I chose a violet shade). Then switch to the Gradient tool. Click and hold and choose the Radial Gradient tool (the 2nd tool from the left in the pop-out menu). Click and drag starting a little bit below the upper left side of your circle and drag down to the bottom right side (as shown above).Don't deselect yet.

Step three:
Go under the Select menu, under Modify, and choose Contract. When the dialog box appears, choose 10 pixels and click OK. Your selection will shrink (contract) by 10 pixels.

Step four:
Go under the Edit menu, under Transform and choose Rotate 180 degrees (as shown above left). Then go under the Select menu again, under Contract, but this time only contract by 2 pixels. Go under the Edit menu, under Transform, and choose Rotate 180 degrees (as shown above right).

Step five:
Deselect by pressing Command-D (PC: Control-D) and then go under the Layer menu, under Effects, and choose Drop Shadow to complete your Web button.