When you choose the Ellipse tool, look at the Options Bar.
Somewhere up there (probably close to the left-hand end, but it varies by version) there will be an option for "Shape/Path/Fill". You have to make sure yours is set to Path.
Also, make sure, in the Layers panel, you have the layer mask selected, not the layer thumbnail. I mean, click on the white box thumbnail to make sure it has a little border around it.