Do you have any sort of screen shot grabbing app installed?
I've just seen you are using a Mac and I am not familiar with screen recording with OSX, but I am reasonably sure you'll need to composite the elements into one image. You can undock the Toolbar to grab a screen shot of the area you need, then simply click on the Photoshop document window to make it live, and paste the screen shot (Cmd V) which will make a new layer.
To get the nice effect you'll need to build it with multiple (probably) shape layers
I have used three layers to create the graphic. I would select those layers and make them a Smart Object