Okay, take a deep breath because this is a long tutorial. To encourage you, here I am showing you the final outcome first. Step One
Ok Let’s start out with or Elliptical Marquee tool and make a circle and hold shift . Fill it with FF9900.

Step Two
Duplicate that layer then go to Edit> Free Transform and click Maintain aspect ration  and change the Height to 110 which is located right under the navigation bar.
Step Three
Now  fill the new copied layer with #666666. Then draw and drop the original layer (orange) top of the copy layer (gray).
Step Four
Ok now we can continue to add some depth . Lets start to bevel out the orange circle. Ctrl + Click the orange Circle Layer and create a new layer on top of that and get out your linear gradient tool. And set it for Foreground to Transparent and set your foreground color to white.
Step Five
Now with the Foreground white we are going to do a gradient vertically down. Therefore, choose the Gradient Tool and do so.
Step Six
No go to Edit>Free Transform and reduce the size of the gradient as show below,
Now apply the transformation and move it to the right of the orange circle then deselect the selection. By now you should have something like below,
Step Seven
Now go to the orange circle layer because we need to add some depth with the blending options. Right click the orange layer in the layers pallette and select blending options. Apply the following settings.
Layer>Layer Style>Inner Shadow.
Layer>Layer Style>Outer Glow. Layer>Layer Style>Inner Glow. Layer>Layer Style>Bevel and Emboss. Layer>Layer Style>Satin. Layer>Layer Style>Stroke. Step Eight
Go back to your gradient layer you made and duplicate that layer and get your elliptical marquee tool out again. Make a selection like below,
Step Nine
Now, press DELETE to delete the area. Press Ctrl+D to deselect and move that to the bottom left hand corner of your orange circle. Erase any excess left from it.

Step Ten
Now you can go to Edit>Transform>Rotate and Rotate the selection like this, Looks like it is bulging out now, doesn't it? Ok we are going to apply an outer glow with this settings Step Eleven
Go to your first gradient layer and apply the same. The Gray Circle is very Bored and needs to get some excitement so lets go to the layer to the blending options and use the following settings.
Inner Shadow:
Opacity: 100%; Angle: 57; Distance: 5; Choke: 6; Size: 21;
Outer Glow:
Inner Glow:
Inner Glow:
Direction: Up; Size: 6; Angle: 57; Attitude: 28; Click on the Glass Contour and use the following. This contour might get tricky so do your best.
Gradient Overlay Phew! You are all done now.