Would you be able to provide more details?
Do you know if this is Photoshop, Photoshop Elements, Photoshop Album, or some other application we are working with?
When you say your images are going to Photoshop, do you mean photos you've double-clicked on, when you've plugged-in your camera, or some other action?
As for where you photos are, have you check your Pictures folder (where this is depends on whether you are on Windows or Mac, and what version)?