Final image:

PROCEDURE:

1.) Create a new document and fill the Background color, with Black.

2.)Create a new layer, Draw a circle (SHIFT + hold ) using elliptical marquee tool  and name the layer > circle 1

3.) Fil the circle with color, #056487 using ALT + backspace.

4.)Create another copy of the circle layer and name it, circle 2.

5.) Settings for Circle 1 layer:

Open, Filter menu > Render > Lighting effects,  and enter the following.

Style : flash light

Light type: Omni
Check the 'on' button.

Intensity :60
Gloss: 85
Material : -100
Exposure : 14
Ambience : -23
Texture channel -none.

Position the light in the  top right corner of circle  and click ok.

Leave the mode to normal( in layer box).

6.)Now, select Circle 2 layer, and use Filter menu > Filter gallery > Diffuse Glow and click ok. Then enter the following light settings

7..) Light Settings for Circle 2 layer :
Enter the same settings as above BUT, position it in middle of circle and fit to the size of circle (not a perfect fit, leave a little as boundary).

8.) Once you have given light settings for circle 2 layer, change the mode (in layer box) to linear burn. This is an important step or else you will not get 3D look for lighting.

You can use other blending modes as you like. !