1. Create a new file 600 * 140px. Now select the Rounded Rectangle Tool to create a rounded rectangle as shown below.
2. Apply layer style: Inner Glow Blending mode: Screen method: Soft.
3. Gradient overlay: set the color to #5e80a3, #839db8 and #b8c7d6
4. Stroke: #5e80a3
5. This is how it should look.
6. Now write the link using Segoe 14 pt #ffffff
7. Apply a layer effect to the font link: Stroke #53769a
8. Create a new layer. Select the Rectangular Marquee Tool, draw a line of 1px width and fill it with #ffffffs
9. Duplicate this layer and add each line between each link. Now select the Rectangular Marquee Tool and select the area at the bottom of the line covering all the lines, then use Select -> Modify -> Feather and apply a 5px radius. Press Del and do the same with the upper lines.
10. Change the blending mode of the line layer to Soft Light