This wallpaper is pretty easy to do but there is one trick to achieve good results. The secret is to use combination of shapes, layer effects, and masks. So, as always, start with solid color.
Set foreground color to darker blue, and use VERY large brush to fill background with curved gradients (you can use Blur filter with large radius after that).
Create new layer, switch to Pen tool, and draw some abstract shape, similar (or not similar) to shown here. Color does not matter - i used black.
Open layer effects, add white outer glow, size: 80-150 px.
Here goes the tricky part! Right-click on the layer (precisely on f" icon representing layer effects) and choose "Create Layer". A new layer will be create under your shape layer containing outer glow
set blend mode of outer glow layer to overlay.
Another trick: create a mask for this layer (Layer menu - Layer mark - Reveal all). Mark icon will appear on layer. Click it to make sure it is selected, switch to large black brush, and draw large black strokes here and there inside the mask. Of course you could simply use large soft eraser tool to do the same. But using mask, you can undo the results anytime if you are not happy with them.
Repeat all steps from step 3.
Then again, and again!
The final touch could be to add some texture to the blue background color (filter menu - texture - Texturizer). Make sure to use Fade (Ctrl-Shift-F) immediately after you applied the filter - too much filter looks bad.