Step three:
Do the same on the other side, Duplicate layer from step two. Change the angles settings to its oposite. For example the angle setting in drop shadow for the left piece is 180, for the right side, you should change the setting to 0. Do the same for the rest of the settings, what your doing is flipping the effects.
Step four:
Now add your first navigation link, in this case Home. Use font Verdana, Bold, Sharpen, 18pt and color black.
Add the following layer styles: Outer Glow, Gradient Overlay, Stroke.