1. Start with a new document, for example 100 x 100 pixel (File>New>New Document).

2.Create a Circle using the circle tool.

3.Setup the fill color to a gradient from red to black and the line color to transparent.

4. Correct the gradient with active Edit Vector Points tool

5. Select Effects/Layer Style/Shadow outside. Setup Angle 325, Intensity 50, Width 8, Soft 10 and press OK

9. You can now, if you want, add a little white circle for a light effect.