When you use a pen or shape tool to create a work path, the new path appears as the work path in the Paths palette. The work path is temporary; you must save it to avoid losing its contents. If you deselect the work path without saving it and start drawing again, a new path will replace the existing one.
When you use a pen or shape tool to create a new shape layer, the new path appears as a vector mask in the Paths palette. Vector masks are linked to their parent layer; you must select the parent layer in the Layers palette in order to list the Vector mask in the Paths palette. You can remove a Vector mask from a layer and convert a Vector mask to a rasterized mask. For more information, see Add and edit vector masks.
Paths saved with an image appear when you open it again. In Windows, JPEG, JPEG 2000, DCS, EPS, PDF, and TIFF formats support paths in Photoshop. In Mac OS, all available file formats support paths.