Remember to save your Work Path before you lose it (Photoshop CS/CS2/CS3/CS4)

When you use a Pen or a Shape tool in Photoshop to make a new path, it will show in the Paths panel as a temporary Work Path. If you deselect this Work Path and start drawing another path or section, the first path is lost. If you want to keep any Work Path while you create others, save the Work Path first and then start drawing again. To save a Work Path, simply drag its icon to the Create New Path button at the bottom of the Paths panel.