I have come across a website with images on that I don’t know how to do them like that. Please look at the images here and tell me if you know how. The image itself looks like it has thickness, sort of like a button.
I can manually create this effect but it is very time consuming and I wondered if anyone knows a quick solution.
That’s a built-in style in Photoshop. Open any image, go to Layer > Layer Style > Bevel and Emboss.
Thanks Dan, Once again you hit the solution first time round. 
[Edit]Alright Ross. In Photoshop or Photoshop Elements, there is a feature that is called Styles and Effects. You find that in the menu bar under Windows.
Select image after making a duplicate layer of this image. In this little pop up window you select Layer Styles > Bevels > Simple Inner. Click – that is it :D[/Edit]
I came to this post after leaving it open for a while, Dan answered it already
Thanks to you as well Datura.
I tend to do things like this by hand rather than do the pre done filters. I find the grey that is used in many cases too uncomplimentary to the image itself. If you have let us say a pale orange image, looking at it as a whole impression, I take as the shadow color the opposite color on the color wheel, which is in the case of orange a purplish grey. For a blue image the shadow would be brown, etc. That gives a more sophisticated look to the image
Thanks again Datura.
I use the colour wheel for my website designs but you have a good idea there to use it for this as well. The overall look is far better, I agree.