The major thing to learn, from which you will improve, is that whatever shape you make (closed or not), just right click and you can stroke it (for a smooth curved line), make a selection, or fill it. Just remember to right click WHATEVER you do with the pen - closed or not. From there just mass around and you'll get better.
if you have vista right click the pen tool and take control of it as an administrator this allows you to click and then click and hold, when you do this you can create curved lines.
