Q:

How to design a dialog bubble or shape in photoshop? 

How do I design this shape in Photoshop?: 

The box is rounded and it has an arrow pointer at the bottom. 
I am not bothered about the color. 

A:

You can use the Round Rectangle and Polygon tools. 
You first need to create a round rectangle (using the Round Rectangle Tool):

Then change to the Polygon Tool, and choose "Sides: 3" in the menu at the top.  Using the Path Selection Tool, click on your round rectangle and pressing shift (so the shape is added to your current one) draw the triangle:

You can re-position each of the shapes using the Path Selection Tool.  Once you are happy with your result, apply the gradient and stroke. 