||The basis are two vector shapes that are located on two different layers. You can combine them by doing the common 'CTRL-C - CTRL-V'-operation. Just select all anchorpoints of your destination shape and paste them into the other layer with the other shape selected.|
That's all. Of course, Photoshop isn't a vector tool but shapes can be very useful for creating websites or simple 2D-shapes. So Photoshop has some basic features for editing vector shapes. And there's always the possibility of creating complex vectors in Illustrator and paste them in Photoshop using Smart Objects.