Verified answer

you have it set to "shape layers" (see image: http://yfrog.com/nhcapturepcuj ). You want to change it to "paths" (the next icon over). Then you'll see the path (not a "real" line though). Once you get the path exactly how you want it (readjusting anchor points, adding, modifying bezier curves, etc...), then right-click and choose "stroke path".

From there you can choose the type of tool you want for the stroke (your lines). "Brush" is the most typical for this type of thing, but you can use/try other tools too. Regardless of which one you use, you MUST make sure you have it all set up (size, color, dynamics, etc...) BEFORE applying the stroke to your path.

Click and hold the pen tool. It should give you options. Right now you have it set on some sort of wavy design.

We have a free short tutorial covering the pen tool, check it out here:

http://phlearn.com/tips-for-using-the-pen-tool