I believe the technical term is "radial gradient".

There's a few different ways to make it. (assuming photoshop)

-With the gradient tool.
Select the gradient tool, then click the radial icon on the options bar.

-With a layer style.
Go to the "gradient overlay" tab and select the radial option.

-With a fill layer.
On the menu bar: Layer > New Fill Layer > Gradient... > Click OK > select radial

Hmm..
I just wanna say that I get a more similar effect with my wat to do it. Strange, maybe due himslef can tell? :)

Here is my way to make it:
Its done like I tell in the first post here :)

http://i28.tinypic.com/2sa1qtv.png

Though feathering may give you similar results, using a gradient layer effect will preserve editing, so that you can duplicate and/or change the direction, color, etc more easily when needed.

Try playing around with the angle, spread and opacity.

I feel it was alot more difficult to make a good light effect with gradient. Pleas explain me a good way to get this nice effect. Its easier to deside size etc with my way.

Hope for anny step by step to make a great and same as the due3.com have :) Thanks guys, good feedback here :)

Start with a light gray layer. Make a new layer on top and make a large, circular feather edge brush (0 hardness). Set your foreground color to white, then just locate where you want the center of the light to be and click once. To get an even more gradual blend, you can use multiple layers, stepping down the size of the brush on each layer while going from light gray to white.

Yeah, thats my way to do it (explained in the first post)
I make a large circle with elliptical marquee tool with a feather on 150-200. Isent this the same?

It's a little different. I wouldn’t use the elliptical marquis. I would use the airbrush with a large, soft edge.

Thanks alot! ; D
I got it now, I just love this effect, when you make it like that, and then turn the opacity down to 40-60 you get a lovely effect :)

I made something to show you guys :), http://i27.tinypic.com/v8mng8.png