Step 1:  Create a blank document of any size (800px by 600px is a good start) and fill the background with a solid black colour. Create a new transparent layer on top, make it active, and select filter > render > clouds from the main menu. Make sure you have black and white selected as your background and foreground colours respectively. If you do it right you will get a cloudy texture like the one on the left.

Step 2:  Apply filter > distort > twirl with an angle of 999°. Repeat this around three times, or until you have an image that resembles the one opposite.

Step 3: Select the eraser tool and choose a soft round brush of an appropriate size (this depends, of course, on the size of your image). Now start erasing the outer edges and parts of the centre until you are left with a ring that looks like the one on the left.

Step 4: Now to make them look like real rings. Go to edit > transform > scale and drag the top middle grip down until the shape is as flat as you desire, then press ENTER on your keyboard to finalize changes.

Step 5: Pluck out individual asteroids by running filter > noise > add noise, with the amount set to 15%, distribution set to gaussian, and the monochromatic checkbox enabled.

Step 6: Bring up the levels dialog by choosing Image > Adjustments > Levels from the main menu. Move the center triangle (below the distribution graph) until your ring looks a little bit like the example below. Click OK.

Step 7: Almost done!  Alter the colour of your ring with Image > Adjustments > Hue/Saturation. Enable colorize and change the settings until you have the colour of your choice.

Step 8: For the final step, set the layer blending mode to screen so that the black parts become invisible. Your rings are now finished and you can combine them with a planet! Have fun, practice lots, and soon you'll be able to make a scene just like this one:

For the full un-cropped image, click here.