1. Make a new RGB image. Use the dimensions of 88 x 31 (pixels) whenever making a link button. Most of the sites wont accept your logo if the size is not 88 x 31. For good results, remove the background layer (which will cause the button to have a transparent background)

Use the the rectangle tool to make a rectangle on a new layer. Make sure you pick the color of your choice.

2. Right click on the layer and go to the blending options. Once your in the blending options go to Drop Shadow and use these settings:

Distance : 1
Size : 2

3. Then head on to Bevel and Emboss, and use these settings :

Depth : 211
Size : 2
Soften : 0

4. And finally Stroke, use these settings:
Size : 1
Position : Outside