Are you running Photoshop or Photoshop Elements? Which version?
In Photoshop, the marquee around a text box is only visible when the text box is selected and only used as a visual cue to users that this is the current focus of the application. Once you complete your change, the marquee will disappear again.
To warp text into an arch:
1) activate the Text tool (shortcut is T)
2) draw a box for the text
3) type in the text, such as "David rocks!"
4) at the top of the screen in the Options Bar, choose the second icon from the end, the Warp Text icon, that looks like a T over an arch
5) under Style, choose Arch and you should be in business.
6) click Ok and you're done.