I'm not 100% sure I understand, but I'll take a stab at it. First, to be sure you're using the right tool, the Pen is accessed by pressing P, and it looks like an old-style fountain pen nib. In a default installation, it should be the 15th tool from the top of the tools palette, right above the Text tool.
The Pen tool can make two kinds of anchors: smooth and cusp. If you just click, you'll get a cusp, which will make a sharp corner. It should be represented by a square. If you click and drag, you'll get a smooth anchor, which has two handles that control how much that anchor point influences the curve of the path. The handles have a line that connects the square anchor point to a round dot.
You cannot manipulate the anchors with any of the Pen tool variations. To do that, you need the Direct Selection tool. CS5 changed things a little bit such that A will, by default, get you the Path Selection tool. It looks like a black arrow pointed up and to the left. The Direct Selection tool is a white arrow. If the black arrow is highlighted, press Shift-A, or just click and hold on the icon to get to the Direct Selection tool.
Now you should be able to move points around and adjust the handles. If you have an anchor that you just wish was the other kind, there is a tool called Convert Point among the Pen tool variants. It looks like an acute angle, pointed up and to the left. If you click once on a cusp anchor, it will turn into a smooth anchor. Likewise, click on a smooth anchor, and it wil be converted to a cusp.
I haven't had the problem of my palettes vanishing, but the Layers palette can be accessed quickly by pressing F7.