Now, make a new layer, (ctrl-shift+N) and ctrl click on the orange shape layer thumbnail. This should bring up a selection.
Put the new layer selected on Blending mode Soft light, grab the brush tool with about a 40px radius and white colour and start playing around to make some highlights on the orange circle.
Than, again a new layer. Still with the selection of the orange circle. Again on soft light, pull down the opacity to about 60-70% and pull a standard black-white gradient from top to bottom.
Now you should have something like this: