1. Make a 400x400 document. Now press "D" on your keyboard to reset the foreground and background colors to black and white. Make sure your background is white.
2. Make a new layer and select the custom shape tool. Now go to the dropdown custom shape menu and select Arrow #19. Looks like this below:
If you don't see the arrow shape then click the blue button on the top right, which is circled in my screenshot cut above.
After selecting the arrow you can now apply the arrow to that new layer you created. Hold Shift while dragging the arrow on top the canvas, it will make the arrow 100% accurate in size.
3. We got our arrow now we want to add several blending options. Right click the arrow layer and goto Blending Options. Apply all these effects:
Also try using other custom shapes to see how cool you can get them looking.