Well, if I got your question right, it's a pretty simple principle:
- Create a layer with a gray background
- Create a blank layer over it
- Use the Elliptical Marquee Tool to create an ellipse and fill it with black (step 1 in image)
- Add a Gaussian Blur that looks just right (step 2 in image)
- Take the Rectangular Marquee Tool and delete half of the ellipse (step 3 in image)
- Set the Blending Mode to Soft Light and use Transform (Ctrl+T) to rotate (step 4 in image)
- Play with Opacity till you get the desired effect
One way of doing it
Create a layer with a rectangle
Add a drop shadow using the layer styles palette
- Add a layer mask
- Draw a circular a gradient in the mask (make sure it is 100% white to 100% RGB black)
- Group the layer. This is to prevent the next step from knocking out the background.
- Knockout the layer using blending mode in the layer styles palette. Make sure "Layer mask hides effects" is turned on.