The Snap Vector Tools and Transforms to Pixel Grid is only in photoshop cs6 and photoshop cc versions.
Photoshop cs5 doesn't have that preference.
So what would I need to change in order to get my cursor to snap into the grid on every pixel?
In cs5 a few of the Rectangle and Rounded Rectangle shape tools have Snap to Pixel.
You could go to View>Show>Grid and in the Preferences>Guides Grids & Slices you can set the Gridlines to Gridline every 1 pixel.
And with View>Snap checked, your cursor should snap to the gridlines