Attached Link: http://www.elated.com/tutorials/graphics/photoshop/paths_pen_tool/

They are called 'bezier curves' (some french dude has thought them out, I guess), when you just click, they are straight lines, with sharp cornes. When you click-hold-drag, you pull handles out of the anchor point, that define the curve between the first and the last point. If you try, you will see. You are not pulling the line, you are pulling the handles. That is something you should know. I think the above link is a good way to get your head around the pen tool.