Step 1
Under Foreground color set #83C7DA. Take the Rounded rectangle tool with 5px radius and create the shape like me.
Step 2
On a new made shape, add the following styles:
Drop shadow
Inner shadow
Gradient overlay
Stroke
Our menu now looks like this:
Step 3
Now, we will add links. I have used Trebuchet MS regular font, with smooth stroke of 1px.
Step 4
Create a new layer.
Step 5
Take the Rectangular marquee tool, and create the selection around each link (one by one ), like it is shown on the picture below.
Step 6
Fill the selection with white color and under that layer set fill on 0%.
Step 7
Now, we will add the gradient on previous layer. See the picture below.
After that, decrease the opacity on 50%.
Our menu now looks like this:
Repeat this process for every other links, and we're done! :)





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