NOTE: The title says PSCS2 but It should work with all versions which have Difference Clouds... Think that started with CS.
A big introduction is not necessary so let's get going. ^^ Just to say that this assumes that you know how to use simple tools like Gradient fill.
1. Open up a new image with any size you want, for example 500x500 is nice for practice purpose.
2. Add a black 'n' white gradient in a random direction but with more or less evenly divided black and white area.
3. Now add Difference Clouds effect. (Filter -> Render -> Difference Clouds)
Note that the actual lightning will be positioned around the darkest area of the image as it is now so if the result isn't suitable for your needs just experiment with the gradient. For this practice it isn't really that important so I'll leave it as it is now.
4. Invert the image. (Image -> Adjustments -> Invert or just press Ctrl + I)
5. Go to Image -> Adjustment -> Levels
Now move the middle slider to the right until you're satisfied with the look. You can also move the left slider to the right too if you want. Just experiment a bit until you like it.
Now for the finishing touches...
6. Go to Image -> Adjustments -> Hue / Saturation
Make sure the "Colorize" checkbox is checked. Then just experiment with the 3 sliders until it looks good for you. I usually don't do anything with the 3rd slider but you're free t experiment and see if it fits you.
And that's it!
But, I'm sure that many of you ask now "How to use this in a banner!?"
Well it sure wouldn't be acceptable to render it out because it would look totally crappy. So...
First you got 2 options to choose from: Either use the lightning you made during the practice or make a new layer on your banner and do all the stuff you saw above to that layer to make a bolt on that layer.
I suggest the later one since you can experiment with the gradient, move and rotate it until it fits on the layer.
Once you're done with that you want to get rid of the black background.
All you have to do is right click the layer with your lightning bolt and choose "Blending Options"
Now look at the first drop down box which says "Normal" (Blend Mode).
Change that to "Screen" and click Ok.
Voila! That's it. Note that the black background is still there but it's behind everything else so if you got transparent places on your banner make sure to remove the black background from there if it sticks out. Now all you have to do is adjust the transparency from the blending options but that of course depends on your own taste / style and the banner you're making.
Example result:
