How do I design this shape in Photoshop?:
The box is rounded and it has an arrow pointer at the bottom.
I am not bothered about the color.
You can use the Round Rectangle and Polygon tools.
You first need to create a round rectangle (using the Round Rectangle Tool):
Then change to the Polygon Tool, and choose "Sides: 3" in the menu at the top. Using the Path Selection Tool, click on your round rectangle and pressing shift (so the shape is added to your current one) draw the triangle:
You can re-position each of the shapes using the Path Selection Tool. Once you are happy with your result, apply the gradient and stroke.