First take a few parts out of the bales. Flip and rotate until you get something like this image. Select some "holes" on the sides and delete them.
step 2 of 10
Rotate and warp a few parts to get a more "round" nest. Also delete some "more holes".
step 3 of 10
Delete some more "holes" and use dogde/burn to make it more realistic.
step 4 of 10
Did some more dodging and burning.
step 5 of 10
Create the egg shape with the pen tool or whatever you like.
Darken the lower and right part of the egg.
step 6 of 10
Darkened a few more spots to make it more realistic.
step 7 of 10
Make a selection of the egg create a new layer and fill it with a colour of the nest. Set the layer to colour.
step 8 of 10
Copy the front part of the nest and lay it over the egg. Cut out "holes" to make it realistic.
step 9 of 10
Copy the layer of the new nest part that's covering the egg. Place it under the layer you just copied.
Use the layer effects window to give a colour overlay "black". Set it to multiply and 30% transparancy.
step 10 of 10
Insert the duck. Copy the nest and duck and create the shadows the same way you made the other shadow. Gaussian blur the layers.
I made the background with the shape of the egg, I made it a lot bigger and blurred I brushed the rest of the colours.