The most important thing to remember is to hold down CTRL after you've added all of the points and start editing the path to tweak it up. Be sure to click directly on the handles and points; if you don't click on them while holding down CTRL they will disappear. If they disappear on you, simply press CTRL + Alt + Z a few times to bring them back.
Photoshop's Pen Tool can be a real pain in the butt, especially when compared to a vector program's path and curve capabilities like
Inkscape's (one sweet vector program, and it's free). I don't have Illustrator or Fireworks, so can't say for those.