1st. open the photoshop
2nd. create a new image with transparent background
then
create a new layer on that layer draw a circle and paint it black...

then rasterize the layer that contains the circle.
Then right click on that rasterized layer and select blending options, and then add a glow effect, the color of the glow is black too. then create the alpha map for that circle and then save as TGA

last: import to GS

you wont get the same effect you would in photoshop.