Step 1: Start by acquiring some game box art in the highest resolution you can find.  Its often nigh on impossible to get detailed pictures of the box sides, but a scanner can help greatly.  In this case, I've borrowed a few of the box shots on offer at the Sony Online Retail Assets Page. A picture of the side of the box is available, but already in 3D - a little alteration and stretching will barely show up in all but the highest resolutions though.

Step 2: Create a new blank document with two layers - fill both with white, hide the background layer, and select the top one. With the layer selected, go to the menu bar and select Filter > Render > 3D Transform. A little window will open.  Click on the options button and from there deselect the 'display background' checkbox and make sure resolution &  anti-aliasing are both set to high. Press the ok button.
 

Step 3: Select the cube tool and draw a box to whatever size and proportions you desire.  Use the direct selection tool to resize the box further (make it longer, deeper, etc). Using the trackball tool , spin around the box until it is something similar to the box on the left.  Its most important to get all 3 sides a differing shade of grey. If this doesn't happen, spin the trackball some more until this happens.  Then press the ok button.

Step 4: Alright, you'll now have a 3D box in its own layer above a transparent background.  Open your cover artwork and paste it into the document, making it the top & currently selected layer. Use the  Edit > Transform > Scale tool to resize your artwork slightly bigger than the box, then reduce the layer's opacity to 40%.  Go to Edit > Transform > Distort.  Now all you need to do is click and drag the corners of the cover to the corners of the 3D box. Click outside the selection to render the effect permanent.

Step 5: There, that was pretty painless wasn't it?   Repeat for all sides of the box and raise the opacity of the box artwork back up to 100%.  If you've done it all correctly the box should look like my example on the right and have no visible black or transparent seams.  If it doesn't, a little tweaking may be in order.  Take your time in this step - rush your work and you'll ruin the  effect.

Step 6: You could stop here of course, but a few more tweaks can make your work look even better. Create a new empty layer between the white background and box. Using the polygon-lasso tool (or your own chosen method), create a black shape in this layer that looks something like my example to the left.

Step 7: Blur this layer using Filter > Blur > Gaussian Blur and then reduce the layer's opacity to 50% (or whatever looks good to you). Unhide the white background and voila - your finished product!  From here you can add a funky background and even reflections, but its all up to you.   Adding other objects to the scene will give a sense of scale.  Take a peek in my gallery to see this effect in action.  Enjoy!  :)