:O I thought this was only possible in Illustrator, but apparently, you could combine vectors in Photoshop CS3 by selecting the two shapes:

1. If they aren’t already, make sure all the shapes you want to combine are on the same layer (Note: Since these are vector layouts we’re dealing with, any shape you paste onto another layer will automatically take on the color of that layer. So if you want them to be different colors, then combining them wouldn’t work out.)
2. Click one shape and Shift+click the other to select them both at the same time. If there are no anchor points selected, it’ll just assume you want to combine everything in that layer together (which is handy in case if you do want to combine everything together).
3. Up at the top with the other options for the Path Selection tool (if you don’t see it, make sure the Path Selection tool is your current tool), click “Combine”.

Whatever selected shapes are overlapping each other will merge together into one shape and any non-overlapping shapes will all be considered one entity. So if you click one with the Path Selection tool, you also end up selecting the others. Works kind of like Illustrator’s Pathfinder tool/option.

If you want to separate them, the only solution I found is to select the shape you want to separate (with the Direct Selection tool–the white arrow), cut it (Ctrl+X/Cmd+X) and paste it (Ctrl+V/Cmd+V). Obviously, shapes you’ve already merged won’t be able to be separated again.

(Note, I only tried this in CS3, so I don’t know if it works in CS2 or previous versions.)