As always, create new document :-) Fill it with solid color of your preference (dark blue for example).

With Pen tool (P), create a new shape that looks similar to shown here: wave on bottom, and outside image borders on right, left and top. Double-click layer icon to set its color - dark red, for example.

Apply the following layer effects (Layer menu - Layer style - Blending options):

1) Drop shadow: blend mode=overlay, opacity=25%, distance=1, size=1;

2) Inner shadow: color=white, blend mode=overlay, opacity=40%, distance=0, size=5 (this way it is kinda another inner glow)

3) Inner glow: color=white, blend mode=soft light, size=75px, opacity=50%

4) Outer glow: color=black, blend mode=overlay, opacity=10%, size=20px

5) Gradient overlay: blend mode=overlay,opacity=10%, style=reflected, angle=0, reverse checked.

In new layer, use white color and Pen tool to draw the shape similar to bottom edge of previous shape.

Group its layer with previous layer (Ctrl-Shift-G), and set its blend mode to Soft Light.