How to Create XP Style Icons Using Illustrator
This tutorial will give you a basic idea of how you can create Xp Style icons using Adobe Illustrator and Photoshop.
You can use free hand or any other graphic software and create the same by following the basic steps.

We are going to create the Red button you see above. So let's get started. Open a new file in Illustrator and follow these steps:
CREATING THE CIRCLES & APPLYING GRADIENT FOR 3-D EFFECT
Open a new file in illustrator
Draw three circles with decreasing diameters
Fill one circle with the color and apply the gradient fill to the other two cirlces.
See Figure:Fill circle A with a dark red color
Apply gradient fill to circle B
Apply gradient fill to circle C
Handy Tips:
For drawing a perfect circle select the ellipse tool and press the shift key while drawing.
Gradient tool: The colour in the gradient slider is selected according to the figure.
Position your mouse on the top left corner of the circle and press the left mouse button and move your mouse to the right bottom corner without releasing the mouse button

Now place the circles one on top of the other to give it a three dimensional effect.
CREATING THE PLUS SIGN
Draw two rectangles using the rounded rectangle tool. Rotate one rectangle by 90 degrees, place it on the other and align vertically and horizontally.See Figures:Creating the rounded rectangle depends on the size of your circle. You can change settings in the dialog box to suit your needs.
Handy Tips:You could duplicate first rectangle to get a perfect plus.
You can do this by selecting and dragging the rectangle with your mouse while pressing down the Alt Key.
Now use "transform > rotate" to change the direction of the second rounded rectangle by 90 degrees.
To get the prefect plus sign you could align the two rectangles using vertical align center and horizontal align center.

To create a single image of the two rectangles you use the Pathfinder tool. This merges the common area into a single area with the Add to shape area.

CREATING THE 3-D EFFECT FOR THE PLUS SIGN
The depth of the 3-D effect is obtained by creating two duplicates of the Plus sign.
The raised effect is created using subtract tool on the pathfinder.
The images are then combined to form the 3-D plus.To make duplicates of the plus symbol (Alt + drag the image), select and drag the image with the mouse while pressing the Alt Key.
Place the duplicate onto the original at an angle downward.

Select both the duplicates.
Use Subtract from shape area in the pathfinder tool window and then click expand.

Place the resultant object at the right top of the original plus sign as shown in the figure.

Place the Plus sign created on the circles and align all the objects vertically and horizontally as you have done for the plus sign to give you the button.
By this the artwork in illustrator is complete.
MAKING THE XP STYLE BUTTON ICON
We now use Adobe Photoshop to drop a shadow. This is done to give it a more professional XP style look.The drop shadow result is best obtained using Adobe Photoshop. So add sheen to your icon by using Adobe Photoshop.
In illustrator copy all the objects that make up your button.
Open Adobe Photoshop and paste these objects into an image as pixels.
From the Layer menu select Layer style and then select Drop shadow. (Layer> Layer style> Drop Shadow)
See Figure:The settings for XP style icons for shadows are the angle of the drop shadow, distance and size.
In the settings dialog box, enter 135 as the angle to drop shadow.
Set the distance and size to 2.
Handy Tips:Adjust the settings to suit the size of your graphic.

Your button style icon will appear as

You have thus successfully completed making a professional XP style red button icon.