Note that subpaths, or unconnected lines and shapes can be saved as the same path as long as that path's name is selected in the Paths palette when the subpaths are drawn. If no path exists, or no path is selected in the Paths palette, a line or shape created with one of the pen tools will generate a work path in the Paths palette. This is not saved until you name it, so be sure and do so by choosing Save Path from the palette's menu, or by dragging the work path to the New Path button at the bottom of the palette. If you deselect an unsaved work path, and start a new path, the new one will replace the previous, unsaved one. Saved paths can be made into selection borders, or can be stroked with color.
Closed shapes can have fill color applied.
Selections can be converted to paths. The pen tools, and paths are better left until after you've learned how to use the other Photoshop tools. Please note that palettes which are in the palette well will not stay open while you edit. You also cannot access the palette menu when a palette is in the well. To bring a palette out of the well, click on its name tab and drag it out.