Step 1 - Adding the Arrow
Make a new 250x250 document. Click on the "Custom Shape Tool", and then select the arrow in the image above. Next, click and drag it on your document to create an arrow like in the image below.
Step 2 - Duplicating
Right click the arrow layer, and then hit "Duplicate Layer". Then, hold down shift and drag the arrow to the left so it is the same position on the y-axis, but is to left on the x-axis. Do this once more with the second arrow. Once you've done that, merge all 3 layers together by holding down ctrl and clicking on each layer, then hitting ctrl+e.
Step 3 - Blending Options
Select the Move Tool. Then you'll want to align the arrow in the center of the image. Click once on the arrow layer, and then hold down ctrl and click on the background layer.
The icons in the image should come out from being grey. Hit the second one, and the fourth one. This will make the arrows be perfectly aligned in the center of the document. Next, right click on the arrow layer, and change the blending options accordingly to the image.
Be sure to select a light blue for the stroke, and a darker blue for the color overlay. You can change it around if you want, maybe you like different colors, etc.
It looks good, but it needs something! Gloss! Ctrl+Click the arrow layer's thumbnail icon. This will create a selection from the image. Next, select the "Elliptical Selection Tool." Hold down alt, and drag the circle over the selection like in the image, and let go. Now select the "Paint Bucket Tool", and fill the selection with white on a new layer. Change the layer's opacity to around 25%, and now it will be glossy.
That is it. You can pretty much add this to anything, icons, buttons, logos, whatever you want. Have fun.
End! Job well done!