can you tell how to make this kind of icon?!

Hi, I'm new here, and I'm sorry for my bad english.
Do you know how can I get this kind of effect?!



I'm sorry but I can't remember where I took these icons so I can't credit anyone for them ç_ç

(the last one is from ordinarydream.com)

I'm working on PSP9.

Thank you a lot.