That kind of thing probably started out as a vector drawing (so, "paths" and "shapes" in photoshop, or drawn using illustrator), or just custom brushes.
There are actually several sites where you can download photoshop shapes for free, and just kind of arrange them however you want (so, you get all the cool of the image you posted, but with almost none of the effort! good times). Google around a bit for "free stock photoshop shapes", or "free stock vector".
This site links to a lot of free vector downloads, some of which are like what you're looking for:
http://duggmirror.com/design/Ultimat...loads_Roundup/
Once you've got the shapes laid out on your various layers, you can fill them with gradients (which is most of the color in the image appears to have been).
How do you make these kind of pictures? 
Linear Mode
