Creating a Christmas Star

To start, let's go ahead and choose the Custom Shape tool and select the Star shape from the list:

We will draw the Shape onto our canvas, holding Shift to maintain proper proportions, and we should have something like this:

Now that we have a Path, we want to fill this with a solid color. To do this, first create a new Layer in the Layers Panel, then goto the Paths Panel (Window > Paths). You should notice that there is a Path in here. Right-click it and choose Make Selection, no feather. We should now have a selection of the Star:

Next, choose a color you want the star to be and goto Edit > Fill (or use the Paint Bucket). You can delete the Path if you want, we no longer need it.

Now we can align the star in the middle of our canvas by pressing Ctrl+A to Select All or (Edit > Select All) and then using the align tools of the Move tool to center it both horizontally and vertically.
Next, open up the Layer Styles of the Background layer by double-clicking or right-clicking and choosing Blending Options. Let's add a nice Gradient Overlay to the background, like so:

Next, open up the Layer Styles for the Star layer and add an Outer Glow. Experiment with the settings to get the look you're after. This is what I used:

We also want to add a Bevel and Emboss styles. Choose Chisel Hard as the Technique, and adjust the sliders to get the effect you want. I used the following:

With these settings, we achieved the following look for our Star:

Remember, by using many different settings, you can achieve many many different results in PhotoShop. Keep experimenting.