I'll walk you step-by-step through an example project using the Pen Tool to modify a photograph.
The first thing you'll want to do is choose a photograph to work with inside of Photoshop. Try to take something that really catches your eye, or you can choose one that you already have.
The first step is to use shape layers to add vectors on top of your photograph. Remember to make sure that "Shape Layers" is selected in the upper toolbar.
Once it is, you can draw vectors manually, or use predetermined shapes found in the upper tool bar as well. Since there are arrows in the street, as well as on the pedestrian crossing sign, I'm going to draw some vector arrows of my own over this photo, adjusting the anchor points where necessary to make them longer.
Remember that the vector layers you create will match the Foreground Color seen on the left tool bar.
(You can change the vector's color after it's created, too, by double clicking the colored square of that layer in the rightmost Layers panel.)
After you've had some fun with vectors, you're going to manually draw a path, setting anchor points one by one around an especially appealing region of your photograph layer. Remember to make sure that "Paths" is selected in the upper toolbar.
You might draw a path around a particular object, person, or landmark. You can see the anchor points I've drawn around the far sidewalk.
Once you have a path, right click on the canvas and select "Make Selection..." from the list of choices.
Hit OK in the following window, and your path ought to turn into a moving dashed line. Now that you have a selection, it's time for the fun part. Decide how you want to affect this region of your photograph. You can alter the colors, maximize the saturation, add a blur, punch up the contrast -- anything you want! Try exploring the "Image" and "Filter" options on the upper tool bar for different modifications at your disposal.
I'm going to use this opportunity to blur the background. Now it looks a little father away than it really is. The Shape Blur can be found under Filter > Blur > Shape Blur in the top tool bar.
As a final touch, I'll create some circular paths, turn them into selections, and add a yellow tint within those areas. You can use Image > Adjustments > Hue/Saturation to toggle image colors.
By this point, you should have a fun modified photograph made using the Pen Tool, so show us the end result you came up with!