Fencer, you have a pretty new version of Photoshop I think, right?
I'm at work, so I can't give very specifics, but I'll try to go off of memory to help.
The reason photoshop is making seperate layers is that at default, the line tool doesn't create lines, it creates line SHAPES. Each shape is a new layer. In the bar at the top, next to where you pick your line style, there's like, 3 boxes side by side, and the first box is pushed in. You need to push in the 3rd box and then it will create lines. I can't really explain it without being at home, but hope it gives you some sorta direction....
I stink
lol