Applying the Rectangle Tool (U), we have to create the primary layer reserved for the site’s menu, situated on the site’s header.

Fill 0% on the layers.
Blending Options-Drop Shadow

Blending Options-Gradient Overlay

Gradient’s parameters:

Select the previous tool to create one more layer reserved for the menu’s panel.

Fill 0% on the layers.
Blending Options-Drop Shadow

Blending Options-Gradient Overlay