You can download the gradients needed for the tutorial by clicking the download links right below.
Blue Gradient
1) Open up a new image, about 300x300, and whip out your Rounded
Rectangle Shape Tool. Before making your shape, apply these settings in
the tool options menu.

2) After drawing your rectangle, you should have something like the
image below and also a new layer in the Layers Palette
(Windows>Layers):

3) Alright, so far so good. Now, make a new layer by hitting
Shift+Ctrl+N or Layers>New>New Layer and name it "big capsule".
Now, select the Pen Tool and right-click anywhere on your shape and a
menu will come up. Select Make Selection and use the default settings
and click OK.

4) Now, go to Selection>Modify>Expand and enter the number 2 in
the box. You should have a bigger selection than your shape and on the
new layer, fill in the selection with any color because it doesn't
matter. I chose black.
5) Open up the Layers Palette (Windows>Layers) and click on the
little f. Make sure your big capsule layer is selected. Go to Gradient
Overlay and apply the silver gradient as seen in the picture below. I
assume you have download the gradients posted above.

6) Get your Elliptical Selection Tool and holding SHIFT, make a perfect
circle across the bigger capsule. You want the selection exactly in the
middle of the capsule to ensure equal sides.

7) With the big capsule layer still selected, hit delete to get rid of some of the big capsule.

8) Here's where it might get tricky so pay attention. Duplicate the
"big capsule" layer and get any sletion tool. On one of the layers,
select one side of the capsule and hit delete. On the other layer,
select the other side and hit delete. Now you should have one part of
the capsule on two seperate layers. Now, on the layer with the left
side of the capsule, go to the Layer Styles, select Drop Shadow and
apply these settings:

9) On the layer with the right side of the capsule, select Drop Shadow, apply the same settings as above except change the angle to 0 degrees
10) We are done with the outer capsule and now, we only have two things
to do to the inner capsule. Select the small capsule (should be a shape
layer) and go to the Layer Styles (little f). Click on Gradient
Overlay. This time, apply the blue gradient as downloaded from above.
These settings should be entered:

11) Last step, duplicate the small capsule shape Layer. We'll need to
Rasterize it so go to Layers>Rasterize>Layer. Now, we are going
to give sort of a glow to the capsule. So go to
Filter>Blur>Gaussian Blur and apply the options below. Make sure
this rasterize layer is below the actual shape layer in the Layer Palette. You can drag-and-drop to move it down.

With maybe a little more work in adding the text you may get something like this:






More Photoshop: