Neon signs are also really easy to make in Photoshop 5. I'll show you both ways in case you have an earlier version.

Step 1: make it dark

Your background should be dark and use colder nightime colors.

Step 2: Pick a round font

Neon signs are basically bent tubes filled with glowing gas. There aren't any sharp corners so pick a font the has rounded edges. I usually make the font color white. The NEON colors are produced by the filters in the next few steps.

Step 3: Layer Effects

If you have photoshop 5 or higher you can do it this way. Don't fret if you dont..i have alternative steps listed below.

Make your settings similar to what you see here. Do this for both Inner and Outer glow. Make sure you use the same color.

Step 4: Add a drop shadow

Add a drop shadow and call it good. Maybe airbrush some of the signs color onto the wall it's attached to.

Alternative step 1

Type your text. Only this time..instead of white, use the color you want the neon sign to be.

Alternative step 2

Select the text (cntrl-click the layer the text is on). Contract your selection by a few pixels. Feather the selection by a few pixels and create a new layer..fill the contracted, feathered selection with white.

Alternative step 3

Now..go back to your base neon color layer and apply a gaussian blur to it. Make about 3 copies of this blurred color layer to enhance the effect.

Alternative step 3

Now add a drop shadow and airbrush some of the neons color onto the background layer to make it believable. There's a few extra steps to this alternative method but the results are a little more realistic. Try this technique with outlined text.