Preview:
Sleek Gaming Header.
Step 1:
Let’s start out by creating a new file. I used a 800×200 pixels canvas set at 72dpi, and I filled my background with a #001E3C color shade. Now make a new layer set and name it 'Sleek Gaming Header'. In a new layer draw a long rectangle with 860 x 21 px dimensions and #001A35 color shade.
Step 2:
Under Layer Style(Layer > Layer Style) add an Inner Shadow and Gradient Overlay blending options to your dark blue rectangle layer.

Result:
Step 3:
In a new layer draw a large rectangle with #002E5D color shade and 855 x 176 px dimensions attached to the top rectangle structure. This will be your header background so if you want a bigger header modify the size.
Step 4:
Under Layer Style(Layer > Layer Style) add an Inner Glow and Stroke blending options to your header rectangle layer.

Result:
Step 5:
Duplicate the gradient rectangle layer from step one and position it below the header rectangle. You also have to re-locate the position of the layer below the header layer on the layers palette.
Step 6:
Create a new layer, inside the header space by the top structures add a rectangle with #004791 color shade. This space will hold your navigation links.
Step 7:
Under Layer Style(Layer > Layer Style) add an Inner Shadow and Gradient Overlay blending options to your navigation interface rectangle layer.

Result:
Step 8:
Select the Horizontal Type Tool and set the font family to Arial, regular, 12 pt, strong and white color shade. In a new text layer type your out your navigation links with a lengthy space between each link. Then under Layer Style(Layer > Layer Style) add a Stroke blending option to your navigation links text layer.

Result:
Step 9:
Now add your gaming graphics on the header space. Grab the graphic design used in this tutorial
here. Once you insert the header design into your canvas set the layer's blending mode to Hard Light.
Results:
Sleek Gaming Header.