Istead of exporting the path the easiest thing to do is cut and paste it. Cut the path from illustrator, go to photoshop create a new document and select paste, you will be given the option to save a a path. Go to WINDOW (top menu) then paths - this will give you the paths menu/panel and you should be able to see your path as a work path. I suggest you save it (arrow to right of panel) then apply a stroke to it as Spanky suggests.
ssssshhhh ... its t'other way round TR...from pshop to illy
yeah, you just save your path for this so no need to save the actual pshop file. when you've drawn your path in pshop, use the path pallete (same pallette as layers usually and in the top right hand corner of that pallette there's a menu) to make sure the path is saved.
Then using the file menu, export the path to illy making sure you're exporting the path you just saved.
then open in illy and apply the stroke/fill
There are folks on this forum who are better qualified to answer this, but I know that what you see on your screen is never guaranteed to be what you'll see in print. The best way to see what something...