1. Open a New Document, I used 1440x900.
2. Create a Gradient: Set the shape to radial, and choose black for the background and any color for the foreground.
3. Adding some smoke: add a new layer, set the foreground to white and go to Filters>Render>Clouds>Solid Noise. Set the layer mode to Overlay 44%.
Set randomize, 1 to detail, and X and Y size to 16.
4. Creating the Beam of light: Create a new layer, choose the Create and edit paths tool (B) and draw a triangle to be the beam of light. After that create a selection clicking on the button to create selection from the path. Fill the selection using the Fill tool (shift+B) with a blue color.
5. Create 2 copies of the Beam of light layer, and apply the Gausian Blur to them. Set Overlay to the layer that is in the back, and Dodge to the others. This will produce the lighting effect.
6. Creating the sparks: Add a new layer. Using the Paing fuzzy brush strokes (P) to create the sparks like the picture bellow and apply Dodge to the layer mode.
7. Add colors to the sparks: Using Filters>Colors>Colorify to change the color of the sparks.
Tip: Duplicate the layers and add a little blur to create that glowing effect.
8. Creating the light circle: Create a new layer, go to Filters>Light Effects>GFlare, choose hidden_planet in the selector tab. Try some different setting values or like the ones I used. Set the layer mode to Dodge.
9. Resize the Layer to add the perspective.
10. Some dust: Duplicate the light circle layer and add a Filters>Blur>Motion Blur. Type linear, and angle 90. The layer Mode is Dodge again.
11. The Supernova: Add a new layer, fill it with black, go to Filters>Light Effects>Supernova. Again, try different values and choose the ones you like or follow the image bellow. After that apply Screen to the layer mode.
12. More depth: In a new layer, use the Gradient but this time with a blue foreground and black background, create a radial gradient from the top left corner to the bottom right. Set the layer mode to Screen with 65%.
13. Add some noise: Add a noise Filters>Noise>Hurl to the first layer, the background gradient of the image.
The Final Result: