This can be done completely in Paint Shop Pro, but I'm quit sure many other programs can do this as well. I made this as simple as possible showing all steps I could.

tut1a.gif (194 bytes) tut1a: Draw a circle.
tut1b.gif (175 bytes) tut1b: cut the edges to fit your needs.
tut1c.gif (197 bytes) tut1c: Soften it (most programs have this filter).
tut1d.gif (280 bytes) tut1e: Set an Airbrush to size 5 with pure white, and airbrush right along the ends.
tut1e.gif (216 bytes) tut1e: Fix the outline
tut2a.gif (188 bytes) tut2a-d: follow same steps as tut1a-e.
tut2b.gif (223 bytes)
tut2c.gif (359 bytes)
tut2d.gif (229 bytes)
tut3a.gif (266 bytes) tut3a: bring the 2 images together on the same picture.
tut3b.gif (288 bytes) tut3b: set Airbrush to size 10 on black, and draw across the top of the image at the bottom.
tut3c.gif (305 bytes) tut3c: repeat step tut3b, ,but set the airbrush to 20.
tut3d.gif (305 bytes) tut3d: pull the 2 together so that the top and the bottom meet.
tut3e.gif (336 bytes) tut3e: Set the airbrush to 5 and draw some light touch-ups in areas that you want lighting effects.
tut4a.gif (198 bytes) tut4a: draw some detail lines that would fit properly onto the original image.
Use the Image Arithmetic to bring tut4a and tut3d together to make:
tut4b.gif (1161 bytes) tut4b: Your finished product.