A co-worker asked me this a few weeks ago. It’s not something you often need in Photoshop, and the way it is done has changed over time. These directions apply to Photoshop CS 3, but they may work in other versions as well.
Select the Photoshop line tool from your toolbar.
Select Geometry options from the line tools toolbar.
Now you will see the Arrowheads dialogue. Here you can select a start or end arrowhead. You can also specify the width and length of the arrowhead.
The last option Concvaity changes the look of your arrowhead. The arrowheads below show different concavity settings.
That’s it, pretty easy.