Open the "Render Settings" first. (Ctrl+B)
Then under SAVE setup your prefs. In thus case you'd like to save out as a Photoshop PSD. You should also put a checkmark in the option box named 'Alpha Channel'. That's all you have to do for that. You can ignore the other Alpha options.
When you render your scene C4D will automagically save the PSD at the end. It will create the file where ever you specify in the Save settings.
You also have the option to save your render right from the FILE menu of the Render window (FILE>Save Picture As...). Just so ya know.
That help enough?