2. Drawing the bubble

Go into the Path tab instead of normal layers, and add a new Path. Name it f.x. "Bubble".

Now just choose the ellipse tool (the U key in Photoshop - you might need to use SHIFT+U to switch through the different drawing tools until you get the ellipse tool) and just draw a ellipse encapsulating the text. Start drawing in the middle of the speech bubble - after you've started holding down the mouse button (don't let go!) press and hold the ALT key on the keyboard and the ellipse will expand from the center of where you first started holding down the button instead of having the starting position as a corner point as it does by default.

Don't worry if it's not perfect - just press CTRL+T to transform the shape. Make sure the path is still selected first though, or you might be transforming some other element of the picture.
Clicking and holding the mouse inside the transformation box - but not on the PoR (Point of Rotation, the small crosshair in the middle of the transformationbox) - will move the box so you can center it easily. Pulling the handles on the corners or sides will resize the box. Again, holding down the ALT key when manipulating these handles will resize an equal amount on the opposite side of the transformation box.

So, now you should have a nice and snug speech bubble. We're ready to add the tail.

3. Drawing the tail

Now select the polygon tool (from the same palette that the Ellipse tool was found). Set the number of sides to 3 and draw a triangle somewhere near the bubble.