Start a new document 600x600 pixels. Once you created the new document, fill it with black. Use your TYPE tool and create your text. Make big text. With your type tool still selected, click on the "Create Warped Text" button located on the Options Bar to open the warp text box.
From the Warp Text Box, choose Bulge and set your Bend to +50
Now duplicate the text layer, theres several ways to do this, one way is to right click on the layer (in the layer pallete) and select "Duplicate Layer" or drag the text layer to your new layer icon on the bottom of the layers palette. We will work with this layer later, so lets hide it now. Click on the "eye" icon on the layers pallette next to the layer you want to hide. Now merge the bottom 2 layer together. Click on the upper layer and choose (Layer È Merge Visible), so your layers pallete should have something like the image on the left now.
Now apply: Filter È Distort È Polar Coordinates. Choose the options: Polar to Rectangular.
Now go to: Image È Rotate Canvas È 90CW. Then go to Filter È Stylize È Wind. Choose the method: Wind and the Direction from the left. Now just press Command+F about 10 times. This will reapply the wind filter 10 times.
Now rotate the image again. Choose Image È Rotate Canvas È 90CCW. Then choose Filter È Distort È Polar Coordinates and choose the options, Rectangular to Polar. Now you should have something similar to the left.
Now enable the top layer text you duplicated from the first step by clicking the eye beside it on the layers palette. Make sure on you are on the right layer and click on the text tool. Choose your color in the options bar. Change its color to something you can see with.
Now apply these layer styles to the text layer. Do Inner Shadow, Gradient Overlay and Stroke
Here is what it should like when you finish.