Start a new document about 500x500 and fill it with a black background.

Set your forground color to orange.

Then use the Ellipse Tool and draw a round/oval shape.

Next apply the following Inner Shadow layer style to this shape.

Now use the eclipse shape too again, this time draw another round shape on top of the previous shape, about the same height but narrower in width. See example. (I made mine in WHITE so you can see the shape I drew, but your color should remain orange as above)

Now do it 1 more time, this last shape should be very narrow.

Now we should have our basic pumpkin

Create a new layer above ALL other layers.

Now select the Polygonal Lasso Tool

Now use this tool to draw out the mouth.

Fill this selection on the new layer with white.

Now apply the following layer styles to this new layer:

Inner Shadow

Gradient overlay

Now make sure you are still working on the new layer (the one you drew the mouth), then select the Polygonal Lasso Tool again, then draw the EYES

Now all you have to do is use the paint buck and fill it with a color. Since we are still working on the mouth layer, the layer style from that applies to the eyes.

Repeat to draw the nose.

Now merge all the layers (except background) together. One way of doing this is hide the background layer, then go to Layer » Merge Visible

Now, you should be working on the merged layer.

Got to Edit » Transform » warp

Now move the warp grids as indicated by the image on the left.

This will shape the pumpkin to look more like a pumpkin instead of it been so round...