Q:

Is a photon really massless?

If a photon travels at a speed of light and its massless then it must have no energy but this is not the case as we see in photo electric effect. Also help me to know what are photons made of, how are they created?.

A:

When people claim that a photon is massless, they mean that a photon has zero rest mass. In special relativity, the formula for the energy of a particle with mass $m$ possessing a momentum $p$ is 
$$ E = \sqrt{p^2c^2 + m^2c^4}$$
If we set $m = 0$ for a photon, we'll end up with
$$E =  pc$$
Here the momentum of a photon is described by quantum mechanics to be
$$p = \frac{h}{\lambda} $$
with $\lambda$ being the wavelength of light.
So it can have an energy, while still being massless.

A:

If a photon [is] massless then it must have no energy

This is not the case. One way to think of mass is as nothing more than a convenient name for rest energy. Photons are indeed massless and thus have zero rest energy. This is not an issue because according to special relativity, they do not come with a rest frame.
Please note that assuming we denote rest mass by $m$, the well-known $E=mc^2$ is not the whole story - the general formula reads
$$
E^2 = m^2c^4 + p^2c^2
$$
In principle, you could think of three types of particles, depending on the relative values of energy and momentum:

$E^2 > p^2$: massive particles, $v < c$
$E^2 = p^2$: massless particles (eg photons), $v = c$
$E^2 < p^2$: tachyonic 'particles', $v > c$

The last variant is hypothetical and not really particle-like (they cannot be properly localized and would manifest more like an action-at-a-distance).

what are photons made of

As far as we know, they are elementary particles. They are excitations of a bosonic quantum field and not made out of anything.

how are they created

Through processes that involve the electromagnetic interaction in general and accelerating, vibrating or jumping electrons in particular.

