Are you Adding to the Catalog in the Export dialog window, IE have that option checked?
Do you have Stack With Original checked in the External Editor section of the LR preferences?
How are you sorting your images? Try Capture date and see if it shows up.
It will be a different file than the original. It will more than likely had the word Edit added to the file name, NameOfFile-Edit.jpg, TIF or PSD.
i have Stack With Original checked and i guess my problem is that when i click edit in photoshop and click edit copy, lightroom just creates a copy in jpg format and from my understanding it is supposed to create a psd because thats what is selected in the preferences, then when it opens in photoshop and i edit it, then hit file save it opens the save as box, i could just save it as a psd file in the same location as the original file but then i will have to import it into lightroom but that would be kind of a pain. im going to uninstall lr and ps to then reinstall to see if that fixes it
Might be a permissions issue on the destination folder. Check if Photoshop can write there with the log on that you are using.