The icon on the left is the Shape layers icon, also known as "not the one we want", and it’s the one that’s selected by default. If we were to work with the Pen Tool with that icon selected, we’d be drawing shapes, just as if we were using any of the various Shape Tools, except that instead of drawing a predefined shape like a rectangle or an ellipse, we could draw any shape we wanted. As I said though, that’s not what we want. We want the icon beside it, the Paths icon, so go ahead and click on it to select it: