To make that more visually appealing, I've added a couple of effects here: Inner Bevel and Contour. You can choose the effects with right-click on the layer you'd like to apply it to (sorry, Mac-People!). They are hidden in the Blending Options

To make your graphics look the same as mine, just click "Bevel and Emboss" and "Contour". Feel free to play around with the settings here, you can undo all of them without any harm.

Your layer preview should look the way it looks on the upper/left of the graphics here, if you chose to Bevel and Emboss it.

What I did next, was creating a new layer (again!) and selecting the circle-layer with ctrl. I now have only the selection of the circle, without actually seeing it. Neat.

To get a graphics, that looks the same like mine here, just shrink the circle by 5 pixels (Select - Modify - Contract) and fill it with White.

Then, give it the Inner Shadow effect.