Most people who switch from Windows to Mac find it unsettling to see the desktop when they start Photoshop. This is the way Mac works and has since the beginning. What you are looking for is the Application Frame. This is a new feature in CS4. You can find it towards the bottom of the Windows menu.
If you are using a version prior to CS4 there is no Application Frame. You can change your desktop to gray; many do this; or you can hit the f Key for Maximized mode and once more for Fullscreen mode. This is the closest to the Application Frame in CS3 and earlier versions.
CS3 is the only version with the Maximized mode, but all have the Fullscreen mode.