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Start by creating a new document to make your button menu in. I created a small document sized 500×500 px with white background.

Select Rounded Rectangle Tool (Radius: 10 px) to make the shape as on picture below:

Then we can add one anchor points in the middle of every side of the shape using Pen Tool to make our shape more rounded. Then select Direct Selection Tool and correct these points similar to these:

Apply Outer Glow, Inner Glow and Gradient Overlay layer styles:

Now we have something like this:

Pres Ctrl+J to duplicate layer, then clear layer style for the copied layer and press Ctrl+T to miniaturize shape 94% Horizontal and Vertical.

Then apply Gradient Overlay and Stroke layer styles: