How do I make the picture of right hand side from left hand side. I'm using Photoshop CS4. I tried some bevel and emboss but couldn't get the exact effect. Could someone assist me ?
This is really basic stuff and you should be able to Google these things instead of asking SE. Please do so in the future.
However, to answer your question, you have to first recognize that they are two different layers, one for the background, and one for the arrow. I quickly made them in photoshop.
For the background, do Emboss with the direction downwards (assuming light is in the top left corner). Change settings to mimic the original.
For the arrow, it's an Outer Bevel, again play with the settings. I also added a colour overlay to change the arrow colour.