I've been asked for tutorials on this, so here it is:
1. Find yourself an pic of an CD (or something else if you wanna make it from schratch) to use as the background.
2. We need an UMD, i used this:
3. Open Photoshop and load your two pics.
4. In the UMD file, select your magnetic lasso tool and select the UMD sticker, and everything around the disk
its important that you also select the little border in the edges of the disk

Copy (Ctrl+C)
Make a new layer (Ctrl+Shift+N)
Paste (Ctrl+V)
5. a (if you have cd)
Go to your cd pic. Double click the Background Layer. call it Disk and press ok
Select your magic wand tool and select everything thats around the disk. hit delete. Drag the layer over to the umd pic. place it between the two layers
5. b (i you are making a custom one)
here, it's mostly up to you, but i'll say some basics
- Start by making a new layer set between the two layers. call it Disk, we'll put all the future layers here.
- when making black text, dont use the totally black color, it don't look real.
i use #1B1B1B - all your pic's, scould be adjusted abit. go to the layer whit your pic and press (Ctrl+U) Let there be light, adjust the lightness up abit, i use +10
I may be adding more to this point another time.
6. Now you schould have something like this:

this doesn't look very real. Its time to add the famous "Glare Effect"
for people using the 5b, merge the layer set (Ctrl+E)
Now change your layer blending mode to something that makes it look real, i usually use "Overlay" or "Pin light".

This is what i get:
7. Now it's cind'a real, but its still to perfect, what are the chances of a disk being at exactly 0 degrees?? Let's Rotate it abit.
While on your Disk layer, hit Ctrl+T to transform.
Be sure that the little "thingy" is in the middle of the umd like showed below.
Then rotate it abit, i use 1 degree.
8. Save it and go fool your friends.
I hope everyone shows their results and upload them
here:
username: fakeumd
password: fakeumd
If there is anything, ask me at
wilhelm.francke@gmail.com
I may add more to this after some experimenting