The problem is that before you process as PSD file for printing, saving or export, you first need to flatten the layers into a single image:
On your Menu bar:
1. Layer - Flatten Image
Note: Merge Layers is not the same as Flatten - Flattening is a different process.
Unless you flatten, Photoshop assumes that you're going to continue to work in an Adobe format.
You can save/export EPS paths to Illustrator, but it's easier to save it as a PDF file with layers intact and then open it up in Illustrator, or just do the design in Illustrator to begin with. The work your describing is more an Illustrator job than Photoshop anyway.
If you're using GIF images (brought them in as a separate layer, that won't work - you first need to change the Image mode from Indexed to RGB, then save it as a PSD, or do a Copy and Paste into the file you're working on as a new Layer.
If you're not that familiar with Photoshop, or have worked in lesser program like Paint Shop Pro, then having access to training and tutorials, as well as forums and other information tips is a must. I've been using it for 12 years and I still learn stuff all the time. The CS4 feature updates they incorporated are worth the update if you've considered it. Keep in mind though that you really need a 64 bit system with added RAM capability to run it. The increase in performance is huge, but what Adobe doesn't tell people is that CS4 also uses 80% more RAM per process than its CS3 equivalent.
It's important to understand when to use which program for a particular project. Photoshop is a Graphics Editing program, as well as a Graphics Design Program. But it's not intended as an original artwork program - that's what Illustrator is for, and many times Illustrator is easier to accomplish a certain task than Photoshop is. In PS, you work on the image itself, usually modifying an existing graphic, occasionally creating an original one. In Illustrator, the display board is like an artist's canvas - you assemble graphic elements to the whitespace next to the board, then integrate them into a single image/art graphic and export/save as required. For what you're doing, if it were myself I'd be modifying the graphics in PS, then assembling those files into the final art graphic in Illustrator.
For Adobe resources, click on your Help menu link, then on Photoshop Online. Or you can go to Adobe and go to the Photoshop Support Center and the PS Developers' Center - both have more knowledge than you'll probably need.
Training - You should really consider joining NAPP - National Association of Photoshop Professionals. Even if you're a beginner, the discounts alone are worth the subscription. You get 15% discount on all Adobe programs, and that's on top of any running Adobe discounts/upgrades. With my NAPP discount I was able to update my CS3 Master Collection to CS4 Master for just under $1000. That included Lightroom 2.0, which is great if you do a lot of digital pics.
NAPP also has a lot of training, tips and tutorials - NAPP members comprise the top Photoshop users on the planet, and there are a lot more discounts than just Adobe. There are also discounts on other programs, plugins, even hardware. NAPP also has seminars that run through the major cities every year that you can attend for a discounted fee. If you've ever seen or purchased Photoshop magazine, that's the NAPP flagship publication.
http://www.photoshopuser.com
I also subscribe to Lynda.com for online training courses - you won't find better.http://www.lynda.com
On the PS Support page that's linked below, if you click on the Community Sites and other header links to open out the nav links below them, you'll find the PS killer tips, tutorials and other advanced PS sites. The Forum links are there, and the Additional Help section will have the links to the CS3 section. You'll find even more at the NAPP site if you join.
Photoshop Support - http://www.adobe.com/support/photoshop/