Maybe you could do that in Illustrator with an Art Brush or Pattern Brush; you’d have to vectorize (part of) a string, I guess, and the result may not be stellar anyway.
I posted this just before going to bed last night, and as is the way of these things, my head had hardly hit the pillow and I'd thought of two ways to achieve what I was after. One was as above with Polar Co-ords. If you have ever done the Polar Planets thing, you’ll know how it works. As luck would have it, I did one about a month ago but I had to experiment with the guitar string thickness to get the affect I was after.
My other solution came with the realization that I had myself hung up on trying to bend the string, when I only needed a ring shape that looked like the string. So I filled a new image with noise, and used Radial blur set to zoom and at 100%. It was then just a matter of cutting out the ring shape, laying another solid colour layer set to Color, and Layer styles (Inner glow to start the 3D affect, and bevel and emboss to finish it).
Having tried both methods, I have settled on the second because the layer styles meant I can keep the shadows and highlights in the right place. Polar Co-ords. Bends the shadows and highlights which is not how it would look.
BTW I also realised I had bent the strings to go through the peg, when they should have wrapped around it! I’ll post the finished graphic here when done, just for interest sake. This is the group challenge if you want to have a go yourself.
Thanks for your help guys.