To create things like talk bubbles, arrows, or shapes, you use the Custom Shape tool. It’s found right above the Hand tool in the Toolbox—just click-and-hold on the Rectangle tool and choose it from the flyout menu (it's the last one in the menu) or press Shift-U until you have it. Now look up in the Options Bar, and you’ll see a preview of the currently selected custom shape appear in the Shape thumbnail. Click on the thumbnail and the Shape Picker of custom shapes will appear. To use one, just click on it, and then click-and-drag it out to the size you want in your image. By default, it will appear on the current layer, so if you want it on its own separate layer, click on the Create a New Layer icon at the bottom of the Layers panel to make a new blank layer first. Also, on the left side of the Options Bar, you’ll see a tool mode pop-up menu where you can choose to create your custom shape as a Shape layer, or a Path (these options are more for graphic designers), or Pixels, which is more for us photographers (it treats your shape like any other image). By the way, you can load more sets of custom shapes by clicking on the gear icon in the top-right corner of the Shape Picker. A pop-up menu will appear that lists all the different custom shape sets you can add (append) to the end of the current set of shapes, or you can replace (delete) the current shapes and use these instead. I generally just choose All from this menu to load every set at once, so I can scroll through them all (and I leave them loaded all the time—it just saves time). You can return to the default set of custom shapes anytime, by choosing Reset Shapes from that same pop-up menu.
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