Start with a new image in RGB mode and fill it with black. Use the Marquee
tool to create a circle.

Press delete the and change the marquee tool to rectangular. Place the cursor exactly next to the circle and draw a square. Press delete and do the same thing again to the upper side
of the circle,

Now, it will look like this!
Create a new layer and fill it with desired texture, color or whatever you want to use as a background on your webpage.

Now, select the first layer and use the magic wand tool to select the black shape.

Go to layer 2. Create a new layer.
The selection is still on. Apply the CutOut filter from Eyecandy
Use Layer effects (inner shadow in PS5) with the settings:
Direction: 145
Distance: 15
Blur: 15
Opacity: 80

Apply the dropshadowfilter from EyeCandy Use Layer effects (drop shadow in PS5) on the same layer.
Now, go to LAYER/FLATTEN IMAGE.

Cut out the corner and create a new image.
Paste it into the new image and save it as ex. Corner.JPG