hey aquastealth,
basically you make the circle or rectangle using a shape the normal way you do it, but at the top of photoshop you should see a bar with extra tool settings (right below the menus) In these options you should see a bunch of tool options... going from left to right, the first 3 icons are your "shape layers", "paths", and "fill pixels"
you have 2 ways of doing this, the first way i would do it, is... using the "shape layers" which i assume is the default setting anyways.
hold down shift while creating the circle and it constrain it to become a perfect circle (assuming you have the ellipse tool selected), now it should create a shape layer with your circle filled, don't panic, here's what we do.
in your layers manager you see the 3 dropdown menu's defaults are "normal, opacity 100%, and fill 100%"
go to fill and put it down to 0%, now your circle's fill disappears, next we want to put a stroke on it...
to put a stroke on it, you just right click on your shape layer, and go to blending options and choose stroke, play with the settings, and hit "ok"
now the second method is to use the "path" in your tools options.
once you have the path made, you go to the layers manager, create a layer to put this path's stroke on...and then go to the "paths" tab.
once in there, right click on your work path, and go to "stroke path" and it will stroke your path whatever brush settings you decide to use.
I don't like using the 2nd method because you don't have as much control over the path/shape as you would with the first method. but maybe that's just me.
i hope this helps, if not i can do up a quick tutorial with screenshots to show you what i did/explained.
best of luck
-agentxi