Hi ,
I was wondering how are these small "gui assets" made ? Is this all Photoshop or is there much easier way, for example a deducated programs that has presets and libraries with nice fonts and frames?

Im refering to something like the element "Defense of the ancients" here
http://www.playdota.com/

If you're referring to that shield at the middle of the Header with that metallic text, that's all done in Photoshop (or similar, like Paint Shop Pro or the Gimp).

Text starts as a vector object, so you can just pick a font and write with it. That's the easiest part.
Once you render that text element into a bitmap object, you can apply a myriad of effects to it and that's when good design and artistical skill come into play - there's no form of automation or software that can replace these two qualities, as you're always the one controlling the parameters.
There's not much to say about the shield part - there are various ways to create it. Once you know what you want to do and have a clear idea of the shapes the object will have, you can make some selections with bezier curves and fill them to get your basic object, while manually painting any ornaments the object will have - this all without doing major lighting or texture work, just basic colors. Some people like to work entirely with vector art for this part. It suits this kind of work very well.
Anyway, after you have your unlit object, you consider all the light sources influencing it and start working on painting the lighting and textures; your choice of lighting is always expressed through color - you might want to use the "Preserve Transparency" option of layers (Photoshop) for this part.

If you're insecure about working on a graphic like that, there are three things you can do to help:

• Collect a lot of reference material; reproduce parts of your references in the graphic you're creating, but with your own twists (different colors, different light directions, different textures, different shapes etc.).
• Make use of your own opinion. You know when something looks good and when it doesn't, so make sure you like the results you are getting. If you aren't, analyze what it is and fix it. Spending time away from the work in progress can help clear any bias, so you can get back to it with a new view and fix what you previously couldn't.
• Never start painting something without proper planning first. Inspiration -> Concept\Planning -> Realization.

PS: DotA rules!

I like to do all my GUI creation in Blender. You can do text as a curve then loft it into a 3D shape. Since I suck arse at 2D art, doing it in 3D helps me get the shading right.