Step seven:

Create a new layer-set called "Navigation". Draw a #FFFFFF / height of 23 piece on top left corner of the header.

Add a Gradient overlay layer style.

Add your first navigation text, in this tutorial I'm using Arial, Italic, 11 pt, strong and #00415A.

Gradient Overlay Gradient Blend Mode: Normal Opacity: 3 Gradient: Default Reverse: Uncheck Style: Linear Align with Layer: Check Angle: 90 Scale: 18

Step eight:

Make the rest of your navigation by duplicating the first navigation elements. Have a 2 px space after each navigation piece.

In a new layer, use the pencil tool to draw the piece next to the navigation. This will be the roll-over effect.
Roll-over effect:

For each navigation piece, extend the green bar to the middle of the piece.