Auto merge: how do I turn it off?

Whenever I try to draw a shape, the shape automatically merges onto the layer below it instead of becoming a "shape" layer. It's quite frustrating because it means that I can't move my shapes around without creating a new layer, and then it gets hard to keep track of the layers. How do I turn off this feature?

Hi kurisutina,
Click "Shape layers" button in the Options bar

Thank you very much!