Click any shape you want. Make for instance a circle, remember to hold down shift to make a perfect shaped circle. You can use any colour you want for this tutorial. Once you have this, look in your layer palette, right click the image you created and select “layer transparency”. Create a new layer without deselecting, go to select -> modify -> contract -> contract by 3 pixels.

Now, in select a darker colour than the one you have for your shape (as mentioned, you can use any colour for this one). Now switch to the gradient tool and use gradient to transparent. You can either go up or down over your picture, it’s probably easier and wiser to go up. This will add the volume to the shape you created.

Once you have this, deselect (ctrl+d) - now do the same thing all over again. Right click on the first image, select layer transparency, create a new layer - put this layer on top. Then select the marquee tool, but make sure to use the elliptical marquee tool, the third option is to select “subtract from selection”. This will make sure that it’s going to subtract anything you’re going to select instead of adding it. Then go to Select -> Modify -> Contract by 5 pixels.

To make it smoother, we’ll right click on the selection, while holding the lasso tool - use feather and 10 pixels. Fill this with white (or any brighter colour from the one you chose originally), using the paint bucket as you normally would.

When we have the base for this, we’ll create a new layer - select the elliptical marquee tool again and set white as your foreground colour. Then create a circle on top of your shape. It’s easier to make a circle, but it could really be any shape - oval or so would also work in this example. As the white is the foreground colour, set foreground to transparent using the gradient tool and go from up to down over your shape.

Once we have this done, it’s more or less finished - all we have to do now is link the layer by selecting them and then select “merge linked” from the layers palette.

And that’s it really! You’ve now created a glass effect to your circle.

You can also spice this up by adding a glass reflection. You’d then duplicate the layer and flip it upside down, set the opacity to 50% or so, and then use the erase tool (again using opacity maximum 60%). That’d make the final result look something like this instead.