1. To start you will need a background image. You can download the one I used below.

2. Create a new transparent document 512 x 512

3. Create the comment bubble shape by Selecting the text tool, setting it to Webdings 300pt, then typing (^)

4. Duplicate the text layer

5. Now you should have two layers. Select the top one then apply the following layer styles:

6. Now Select the bottom layer and apply the following layer styles:

Thats all!

This also works great as a text effect as seen below.