1) Emoticons
When designing emoticons, create a document 20px x 20px with a white background (make sure you have RGB colour selected) and select the eliptical marquee tool, with the anti-aliasing off. Change the Layer 1 name to "Head" by right-clicking and selecting Layer Properties. Holding down the "shift" key, draw a circular marquee with 1 or 2 pixels between it and the edge of the canvas.
Select the fill tool, and using whatever colour you have in your palette, fill the marquee. Go to colour overlay by selecting the Layer Style button - - and colour it a yellowy colour, like #FFEA00. Then do an inner shadow with roughly the following settings:
Opacity: 70%
Distance: 0
Choke: 10
Size: 5
Then finally do a stroke, 1px, using the same colour as your overlay, but darker, say #333300.
This is your head done, now create a new layer called face and select a 1px pencil of the same colour as your stroke - #333300 in this case. Draw whatever face you want, and you're done.
To save the file, merge all visible layers - Ctrl+Shift+E, delete the white (using the magic eraser) and save it as a .gif...

2) Circles
Unfortunately, Photoshop doesnt come with a regular, no fill circle, so we're gonna create one using a very simple method. Load whatever size document you want, and select the marquee tool (anti-alias should be on for this). Draw whatever size circle you want and fill it with your colour of choice, then go to Select->Modify->Contract and type in however many pixels thick you want your circle to be (mine is 2px thick, so I put in 2. Then press Delete - and you're done!