Preview of Final Result
You can also go through by steps.
Step 1
Open a new document size of 500 x 500px resolution 300dpi fill the background with White color then create a new layer grab the Ellipse Tool with Paths Mode and by holding Shift Key make a perfect round circle as demonstrated below.
Step 2
Now select the hard Round Brush size around 9px (Any Color) then go back to Ellipse Tool right click on the canvas choose Stroke Path set the Tool to brush hit ok, now your image looks something like this.
Step 3
Here by selecting Layer go to Layer => Layer Style and set the settings as demonstrated below.
*Drop Shadow
*Bevel and Emboss
*Gradient Overlay (4d4d4d) (bebebe) (656565)
You’ll get something like this.
Step 4
Create a new layer grab the Custom Shape Tool with Fill Pixel Mode choose any shape I used ‘Envelope’ then make a shape inside the circle as shown
Here go back to the circle layer right click on the layer choose ‘Copy Layer Style’ and come back to new created shape layer and past it so you’ll have something like this.
In the same way I made some more icons.
