Strange, this is a basic link in LR. On the picture, you clic right, you get a drop down menu, within this menu there is a function called "modify in" you clic on that function then you get another drop down menu. At the very first line of it, you have a function called "Modify in Photoshop......" clic on it. You must open PS and get the image in it.
If this don't work, have a look to the following:
Open the "preferences" of your catalogue Go to "External Edition" This gives you a window within there is a first greed square with the title "Modify in Adobe Photoshop +...." Look if this square if correctly filled in