The pen tool is one of the hardest to master, but once you get it, it's one of the best tools in the toolbox.
Question - how do you have your pen tool options set ?? Do you have the "rubber band" option selected ? If not, select it.
2nd suggestion - create and use a GRID when working with the pen tool. Set the grid so that major divisions are the height and width of the curve you want, such as 100px with 2 subdivisions gives you 50px blocks. Make sure you have Snap turned on and it's set to snap to grid points.
I would also set guides at the center of your canvas. You can do this easily:
1 - set your rulers to percentages (right click the ruler, select percent)
2 - Add new guide at 50% horizontal
3 - Add new guide at 50% vertical
I actually have created an action to do exactly that -works like a charm.
In the example you gave, if you want just 1 curve, try this, with your center guides and grid set up on a 400x400px canvas (just to practice).
1 - Click on the top left corner of your canvas, then move your pen diagonally to the center point of your canvas where the guides meet.
2 - Click on the center point with your pen and then DRAG straight down (do NOT let go of the button!), following the center guide, to the bottom of your 400px canvas. You will see the 'handles' of the curve stretch out vertically.
3 - When you get to the bottom of the canvas, let go of the mouse button - do NOT CLICK - and then move your pen to the bottom left corner - you'll see the curve, nice and smooth, as you move the pen to the corner. When you get to the corner, CLICK that point.
4 - You can stop the curve there by hitting escape, or you can just go straight up to the top point where you started, and click on it to complete the shape.
That's a simple curve. Try the same technique using a grid of 100x100px squares, clicking on the 50px points in the middle of the 100px boxes, then dragging straight down until you see the handles of the curve fill the 100px "box", then move the pen the the opposite corner from where you started, and click your 2nd point.
See what happens when you drag UP instead of down, but using the grid as your guide can help a ton.
