Photoshop CS2

Although the 'orb' is often used, here is a basic tutorial that WStaylor did some time ago http://wstaylor.wincustomize.com/articles.aspx?aid=60014

For Photoshop, you will use the layer styles for defining shadows and highlighting, instead of the mesh tools used in CorelDRAW. You can still use the pen tool to create your shape(s) > rasterize the shape(s) > use the layer styles to create the 3D effects. You might want to experiment by trying to translate the creation of say a folder in a CorelDRAW tutorial to the tool set in Photoshop.

SKoriginals did a tutorial on the Photoshop pen tool here https://www.wincustomize.com/articles.aspx?view=1&catid154&search=Pen%20tool

In all cases, you will then need an icon program such as IconDeveloper (by Stardock), or IconWorkshop (by Axialis) to turn your file into an icon.