Can't really find any tutorials for the exact effect. So have created one myself. I initially played around with the bevel and emboss effect for the layers however this was complicated to achieve a good result so have done it manually instead.
Just ask if you don't understand anything or I've skipped something.
Make a new document (mine was 500x100px).
Fill the background with white.
Turn on Rulers (Ctrl-R) and drag the left side ruler to the middle till it snaps (snap enabled in window->snap) to the centre line of the document.
Press U to get the shapes tool. Hold the mouse button down on the shapes tool and select the rounded rectangle tool. At the top toolbar select "Shape Layers" icon and set the radius to ~300px.
Click and hold the mouse on the centre-line and hold Alt and drag to create your shape.
Press V for the Move Tool and move the shape upwards till it makes the similar shape as the xbox website.
Press Ctrl-H to remove the guideline and path.
Ctrl click the shape layer (on the text) to make a selection of the layer. Then go to Select->Modify->Expand and set a px size of ~5px.
Create a new layer (Ctrl-Shift-N) Drag this layer in the layers palette betwen the shape layer and the background white.
Make a light grey colour your foreground, and hold Alt-Backspace to fill the new layer with the colour.
Deselect the layer with Ctrl-D
Change your background colour layer from white to a grey colour. Select the layer you have created from the expansion and go to filter-blur-gaussian blur to soften the edges.
Create a new layer above your background layer and select the dark grey colour for your navigation bar. Select a 0% hardness brush with opacity ~50% and brush over the lighter grey band to create its shadow.
Fiddle with the opacities to get your result:
