I already answered this on another icon so I'll just copy paste
A friend of mine made the layer for me, since I'm totally photoshop(insert all the other more advanced programs here) dumb.. I was having difficulty creating the border and she made it in like 2mins haha
Here's the layer if you wanna use it:
One issue about it is that it applies the blue to the inner outline of the grey border of the icon, so I have to touch it up afterwards a bit (if you apply it to 64x64 icon).. I also add the 2 inner shades around the edge by changing darkness of the picture by -50 then taking 1 row of shadow and then reducing the already darkened picture by -50 more to get the first row of shadow.
Like so: