Drawing arrow shape in Photoshop is simple.

1) From Photoshop Tools Pallete, click on Custom Shape Tool.
See image below:

2) From custom shape tool menu, click on shape selection. Click on your preferred shape.
See image below:

3) Drag onto the canvas to create the shape.

Hint: More custom shapes can be found online. Just Google it and there will be a lot of free shapes available.