Ah yes, it's a bit hidden in PS.
Press U to choose the Shape Tool. Then click and hold on that tool in the toolbar to get the little flyout of choices. You'll see Rectangle, Rounded Rectangle, and so on. The final one is Custom, and if you choose that you can then access the huge library of shapes in the Options Bar.
I have all sorts of things to read about this subject:
https://www.damiensymonds.net/2011/12/simple-clipping-mask-and-storyboard.html
https://www.damiensymonds.net/2012/02/more-about-storyboards-intersecting.html
https://www.damiensymonds.net/2011/01/how-to-make-star-shape-in-photoshop.html
https://www.damiensymonds.net/2012/01/creating-saving-and-using-watermark-ps.html
https://www.damiensymonds.net/curved-box-method.html
https://www.damiensymonds.net/2011/05/tutorial-shapes.html
https://www.damiensymonds.net/2010/05/making-pdfs-from-photoshop.html