This is a step by step guide on how to create a nice looking asteroid on Photoshop. It was created on Photoshop 7, but should be compatible with any other versions.

Ok, first things first.

Create a new file; about 500X500 should be fine and increase resolution to 200 pixels/inch.

Take the Polygonal lasso tool (L) (right click on it's icon to change it from default) and draw out a rough shape like the one below. This will be the main body of your asteroid.