First, use "Pen Tool (P)" to draw the button outline


When you finish making the path, Click at "Path" Tab.
Then, Right-click at "Work Path" and Select "Make Selection..."
set Feather Radius : 0 pixels and Check "Aniti-aliased" the click Ok


You will get the selection like this.
Then, Fill with blue... or any color you want in the New Layer


Click at the Lock Layer Transparency
Choose Brush size 13 (Blur) and make the box look like emboss with lighter and darker colors


Right-click at this Layer and choose "Select Layer Transparency"
Choose "Select>Modify>Contract" : 4 pixels from the Menubar
then,again, choose "Select>Feather" Feather Radius : 1 pixels
Fill with the main color of the button


Right-click at this Layer and choose "Select Layer Transparency" (again)
then, Choose "Edit>Stroke" from the Menubar In the New Layer above

Width: 1 px

Color: ...... dark-grey

Location: Outside

Fill the Background Color in the below layer with dark-blue


Add the Text to the button.