1. Create a new document 300x300 pixels wide with a white background.
2. Choose the Eliptical Marquee Tool by pressing the 'M' key, and draw an oval that looks something like this.
3. Fill that oval with black, but make sure that you dont' deselect it.
4. Now choose the Polygonal Lasso Tool.
Hold shift and click near the bottom right of the oval. The reason you're holding shift is so it doesn't deselect the first oval you drew. Draw something like a triangle that connects to the bubble. It should now look something like this
5. Press Alt+Backspace to fill the whole thing with black. This is what the speech bubble should now look like:
Now you're probably wondering why it's black. Well I like to fill things with black because it's easier to see what you've done, and easier to work with.
6. Fill the whole speech bubble with white and go to Layer > Layer Style > Stroke. Use these settings:
7. Now we're going to apply some more layer styles.
Bevel and Emboss:
Drop shadow:
Gradient Overlay:
It should now look like this speech bubble:
