In version CS 5 I can't make a pen tool outline not fill. I even tried with a single segment. I curved it and then moved one end to meet the other, and that outline filled just fine.
Have you tried on a new empty layer?
Check if you have your fill color set to non-blank. In Properties Panel, under Fill and Stroke.
After drawing your polygon, select a Paint Bucket Tool (K), select fill color and click inside the polygon.
If the shape is (from any reason) really not closed, select Selection Tool (V) and check the main menu -> view -> snapping -> snap to objects: true.
Hover over the unconnected anchor point until you get a corner icon next to the cursor. Then click & drag the point to the other point you want to connect it with. Snapping will ensure the polygon will close now.
Now you can use the Paint Bucket Tool.
That's strange, I clicked on the Fill Color and changed it to blank, to test it out and my Pen Tool now has blank fill color that I can't change to any other solid color I smell a bug in the air. Now all my paths are not filled and I have to do the bucket thing.
Checking the snap to objects worked. I made three segments, it closed the polygon and filled correctly! I'm working in CS4 by the way.