For the grey backgrounds you need to make a new layer
Then use the rectangle tool to make a rectangle, fill it with a dark colour, and then set the opacity to 60%
To make arrows you use the line tool and then set the arrow head options at the top
To make red circles you use the circle selection shape and then select Edit > Stroke and pick your width
You can play with the settings to change the opacity, arrow appearance, size etc etc. I hacked those ones together in about 30 secs.