• Start Adobe Photoshop and make 288x288 px photo, 72 px/inch resolution.
• Draw a circle like this:

• Now you need to add some Style effects, double click on the circle icon on Layers palette to open Style properities
• Click on the Inner Shadow options, and set the following values:

• Now set the values for Bevel and Emboss option:

• .. And Color Overlay:

• Well, you've just got this:

• Now flatten image, type (w) to activate Magic Wand tool, Select around the circle, then inverse (shift+ctrl+i). Be sure the Contiguous option is checked before selecting:
  

• Save selection result for later use :

• Deselect (ctrl+D).
• Go to Filter > Distort > Glass, On the right side of Glass dialog box type these values :
  - Distortion: 3
  - Smoothness: 3
  - Texture: frosted
  - Scaling: 123%
  - Not inverted, thus you get this :

• Now load the selction you've already made : Select > Load Selection and click OK.
• Go Back to Select menu, Select > Modify > Contract, and contract by 10 pix.
• Choose Layer > New > Layer via Cut.
• Erease the background. Your orange is now ready! enjoy: