After searching for a while, I could only find the opposite, how to convert from text to shape. I this case I have a shape that I would like to conver to text so that I can use it as a bullet. Any suggestions on how to do this in photoshop CS5?
You need a font creation program and Photoshop is not that kind of program. Make a Google search.
Once created and installed on your system the font will show in the fonts menus of all programs that use fonts.
You can use the vector paths creation tools in any program that can do that but you have to import those paths in a font creation program that can create fonts. Illustrator is not a font creation program either.
Depending on your needs, an alternative solution could be to use a program like inDesign that can do inline graphics. Inline graphics are image objects that you can place at the insertion point of the text tool while typing text and they will flow with the text like when you place images here in the messages of this forum or word processors like Microsoft Word but inDesign has the capabilities to have text on paths, shapes, etc with all bells and whistles of a layout program.