Easy peasy actually.
{EDIT}
CRAP! Welles snuck in here while i was writing a tute for this. hehe Oh well now you have 2 options. Although in the tute i show how to taper the inside end of the shape to create a proper starburst effect. 
{/EDIT}
I've written this up as a mini-tute over in the "Photoshop Tutorials" board. Check it there.
The tute uses the Pen tool (very simply explained, don't worry

) to create a vector shape that you can save to your custom shape library.
The one thing i'll have to add here though is the edge fading effect. To create that just add a layer mask to the starburst shape layer and then create a circular selection around the outer edges of the shape. Inverse the selection (Ctrl+Shift+I) and Feather it by say, 20 pixels. Now, with the layer mask active, fill the selection with black repeatedly... like say 10 times; i.e. make black your Background colour and press Ctrl+Delete 10 times.
Over all, this info and the mini-tute should give you the effect you're after.