1. Create a square of colour on a new layer.
2. Using the polygon lasso tool, draw your arrow design and keep it selected.
3. Now invert the selection (Select > Inverse) and press DEL or BACKSPACE.
4. Now add a stroke (Layer > Layer Style > Stroke) to your arrow layer.
5. Duplicate the layer and move the one behind down a few pixels (down or diagonal-down works)
6. Modify the pixels of the area shown if you need to.
7. Change the colour of the 2nd layer (Layer > Layer Style > Color Overlay)
8. Add an inner glow (Layer > Layer Style > Inner Glow) to the top layer to give it a nicer finish.
Juggo maybe does it different but that's basically how i created my example.