Okay I know I was not very creative with the nave for this tutorial, I just like the button, so see how to make this cool and colorful web button with adobe photoshop.

First with the rounded rectangle tool create a button like shape on the stage as I did below.

In the layers panel double click the button layer to get to the layers style panel and give it settings as shown below.

Now with the photoshop custom shape tool, choose the arrow shape I found (see image below) it should be included with photoshop by default.

Add some styles to the new shape as shown below.

Make a copy of this shape and scale it about 2-3 pixels smaller, then go to the styles panel and give it settings as shown below.

And we are done. you can make some copies of the button layers and change the styles for the last part as I did to make it different colors.