Today we are going to learn to make this using PSP:
Image hosted by Photobucket.com

It has a realistic stage light effect, which I like
I'm using blue stage lights, however you might want to use a different color depending on the mood of the icon or your base.

First you need to set up your base. This isn't a base tutorial, however, so I'm going to leave that up to you. I believe it looks best with a dark background, a single subject off to the side and a box in the opposite corner. So I cropped/resized and messed with overlay duplicates until I got this:
Image hosted by Photobucket.com

Now if you are going to use blue, like I am, then this is the gradient for you:
Image hosted by Photobucket.com
If not create your own, and set it to multiply.
Image hosted by Photobucket.com

Now here's the complicated part. Select all and copy the merged image. Paste that into a new layer which is set at soft light. Then, go back to your gradient layer and change the blend mode to screen.
Image hosted by Photobucket.com

Now, your subject is looking a little smurfy, and that is not what we want. So go back to your base and duplicate it and bring it to the top. Set this layer to Luminance (Legacy).
Image hosted by Photobucket.com

Much less smurfy now, yet still a little too blue for me. We just want a subtle stage light effect, not a completely blue subject. So I take this pretty base by dearest:
Image hosted by Photobucket.com
I set it to soft light. You might want to play with the colors of that base if you aren't using a blue effect. Now we have this:
Image hosted by Photobucket.com

Almost there now, don't fret. Duplicate your base again and bring it to the top. Set it to Overlay.
Image hosted by Photobucket.com

Perfect. Our effect is done now. It looks just like there's blue lights on him while he's onstage. Awesome. Now for the stuff that makes it an icon. I took a brush which I downloaded from 100x100_brushes and edited it a bit and put some boxes in it. I put it on screen on the right side of the icon.
Image hosted by Photobucket.com
So now we have:
Image hosted by Photobucket.com

But something's missing, yes text, you got it. Since this is an Alkaline Trio icon *from a set I'm working on over at emo_icon* I used a line from their song Sadie: "My little nightmare" You can set this to screen if you use it:
Image hosted by Photobucket.com
Finally. We're finished.

Image hosted by Photobucket.com

Hopefully that helped you.
Let me see what you made with my effect!