Start off by selecting the rectangle tool.

Use your mouse to drag a rectangular shape of your desired size. On the properties tab, change the rectangle roundness to 100.

In the properties window, click on the dropdown menu that says solid, and Choose Gradient > Linear.

You will see your rectangle change from a solid color to a gradient. On your image you now have 2 anchor points that you can adjust to tell the gradient where to start and end.

Move them from the right/left and place them in the center of your rectangle, going from tom to bottom. You will see your gradient change.

Click on the colored box in your properties tab, and then click on the two color icons and change them to a light blue/dark blue.

Press Ctrl+C to copy your rectangle, and then Ctrl+V to paste it. This will create a duplicate layer of your rectangle button, we are going to use this layer to add some reflection. On this layer, click on the colored box again, this change both of the color to white. Then click on the opacity button, as shown below, and bring the left side of the gradient down to an opacity of 0.

Your image should look something like this,

Change the scale of this gradient by click on one of the squares towards the bottom of your image and dragging upwards.

Duplicate your bottom layer once more using the same method above. Make sure you change back to your initial gradient layer before you copy and past. On your first gradient layer, choose Filter > Blur > Gaussian blur.

In your layer window, change the opacity of this layer down to 60, as shown below.

Your all done, here is how mine turned out.