If you want to make it something, then choose stroke path in the Tool box.
If you change to other tool than it was gone, it's not a problem. In the other box ( Not Toolbox )
There are layers, channels, paths, and undos. Click the paths ( number 3 from the left )
Then there will be a paths that you have make ( also the one that is gone because change of tool)
Choose it, and you will be automatically changed to Paths tool, and the paths you have made will showed again.
Also, it's not Pen tool, it's Paths tool. ( Press B to automatically use it )
I hope you understand. ;)