First right click on your pen selecction and choose "Make Selection" from the pop up box. Then it should work normally. To make the selection move around, just sinply click on the marquee tool.
Or, once you've covered everything you wanna cut out with the pen tool, go to the Paths tab and ctrl+click on the path name/bar/whatever you wanna call it (unless you renamed it, it should be called Work Path). It'll automatically make a selection for ya.
