Kerry's right about selecting the T tool and that automatically creating a new layer.
My brain didn't click, but you should still understand the concept of layers.
The "New Layer" command is selected off to the side (right side) of that layers window. Although you see layers, paths and channels in the top of YOUR window, you yourself select which one you want to make active.
Photoshop (PS) allows you to basically put ALL of these functions into one little window, just by dragging the tabs all around. Or you can keep each little window totally separate. It's just a matter of customizing your workspacee to the way you like it.
For now, your Show Layers pallette is defaulting to include layers, paths and channels. All you have to know is to click on the Layers tab to work with the layers.
Once that's active, THAT'S when you'll see "New Layer" available as an option off to the side.
You want to know all of this this because although you may want to add text to an image, you may also want to add rules, maybe some with arrowheads on the end and such--which you DON'T do from the Type (T) tool. You may also want to surprint other images.
The most confusing thing about the T tool is that you click on it, enter your text, and it's automatically named the first bunch of characters you entered. When you then go to work on another layer, and want to come BACK to that text layer, you have to select the layer name from the layers list. And click that T tool again.
But a lot of times, that creates yet ANOTHER text layer--like, PS is real stupid sometimes with recognizing you want to edit an existing type layer and not create a new one.
You'll get the hang of it, but PS is so powerful because it's NOT something you learn to use in a day.
And we haven't even gotten into selecting your type size, font and color.