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Draw out a rectangle 230x56 px and fill it with a dark color: #101010. Then round the corners with a value of 9px
Now for the stroke, add a stroke of 4 with this grey color: #737476

Figure 1: Base shape
Clone the base, and add a rectangle on top of the first base for intersect.
Select both, first base and the rectangle go to: Modify > Combine Paths > Intersect . Once the shape is created turn it to white and set the opacity to 20%.
To make curve the bottom line, insert an anchor point with the Pen Tool, then drag the control handles and pull the point downwards

Figure 2: New shape
To see how to create a Windows Media Player blue button go to another tutorial: Windows Media Player button. The blue button is modified as follows: reduce it to 30x30px, ungroup and add a black stroke of 1 to the circle.

Figure 3: The blue button
To create the faint "inset" oval that sits under the blue button and that gives it a little depth, duplicate the button's circle, fill it with #2C2D28 and a little lighter for the stroke: #3A3A3A. Moved it a few pixels down and you are done!

Figure 4: Final Result
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