In the following walk-through tutorial you will learn how to create a chat icon.

Open a new file (File>New) that would have 430×438 px and 100 dpi.
Using the Ellipse Tool (U), try to make the primary layer of the indicator we want to represent next.

The layer’s parameters:
Blending Options>Drop Shadow

Blending Options>Inner Glow

Blending Options>Gradient Overlay

Gradient’s parameters:

Blending Options>Stroke