Join anchor/path points!?

Hello everyone.
I am creating a vector shape and I was wondering how to join points.
Here is a sreenshot so that you understand my problem better:


I'm a newbie to vector drawing so I really don't know how this works.

Or is this just not possible is photoshop and I have to use Adobe Illustrator ?

Please help

If you need source file just ask ;)

It would be alot easier to combine the paths in Illustrator...but you can intersect the two paths using the pen tool and the "intersect path areas" button on the in the tool options at the top, second from the right. Or you can make the paths a selection and combine them that way.

Thanks... I'll try