I downloaded the styles mostly from 22 pixels, however I may have looked elsewhere too. Just pull in a whole bunch and put them in the styles folder under photoshop presets. Then click on the little right arrow at the top of the styles palette in photoshop to load them. And my advice is to leave their values more or less as they are. It is quite easy to lose the effect altogether if you start tweaking them too much. I used the vector shape tool and I also installed a few dingbat fonts since layer styles seem to work especially nicely with shapes. (The two circle arrows on the right are in fact dingbats).
Only other thing I did was that I added a little divider line between the menu items. A tiny little vertical 1 pixel grey stroke and then gave that a motion blur at 90 degrees exactly, so that it faded out at both ends.
And the photoshop file, where you can also see how I aligned the stuff, is here:
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