(sorry for the pictures!)
we will be making like this
first, make a new document that measures 100x100 (file > new)
second, make a circle by using the elliptical marquee tool or simply press M, then color it whatever you want
third, make a new layer (ctrl+shift+n)
fourth, get your gradient tool or press G( set your foreground as white), then choose the foreground to transparent
fifth, drag the tool from top to bottom