New set

Create a new set aka "Folder" and call it "Navigation"

Rectangle select

Select a the colours light grey and dark grey and then make a rectangle selection that is roughly 150% bigger then the button you intend to make.

Inverse the Selection

Now go to select > modify > smooth, enter 3. Then select > inverse, press delete, then select > inverse.

Duplicate the layer

Proceed to make a duplicate of your layer, and then choosing the original (which is below your duplicate) press Ctrl+u and decrease the lightness some around -10, then move your layer down 5 pixels or so.

Resize the button

Finally click on the duplicate layer, press ctrl+e and then press ctrl+t to resize down to the apporiate size of the button you wish to create:

Add layer style

Now to give extra depth, add an outerglow:

and a stroke:

Create a dotted line

Now you'll need to create a dotted line, an easy way is creating a new layer, making a 1x1 pixel box fill it and duplicate it. Make a line of grey then another line of white, and place on the button as so:
*Note this is zoomed in on the button itself*

Positioning the dots

After positioning the dots, you may want to change the lightness of the button by pressing ctrl+u it should look something like this:

Creating small arrow.

Now you need to make a small arrow. Create a new layer, above all of your current button layers, then using polygonal marquee tool:

you will need to hold shift and make a small arrow.

Add layer style

Position the arrow to the left of dotted line and add the following outerglow:

The last step is adding some text, with a dropshadow of:

Clean Professional Navigation

Congratulations you should have something like this!