Photoshop :: Separate Shape Layers?

I try to use the circle, rectangle or line tool, it forms a new layer wich cannot be edited directly. I found a way to get around the "not being able to edit directly" part (by rasterizing the layer) but I don't know how to get all the shapes into one layer.

For example, when I draw a rectangle, it forms a new layer which I have to rasterize. Then when I draw lines in rectangle, it is part of a new layer, which once again, I have to rasterize. Now that I have these lines in a rectangle, I tried coloring 1/3 of the rectangle blue using the first line as a closing line. It ended up coloring my whole screen. I tried grouping the layers and then coloring.