Here's where things get a bit tricky. You'll need to tell each of these new shapes how you expect them to function. Choose the Path Selection Tool (from the same part of the toolbar as the Direct Selection Tool) and shift-click all interior shapes.

In the options bar, you'll see four icons (overlapping squares) that let you change how the shapes interact. Click the second icon--Subtract from Shape Area--to tell the interior shapes to punch through the first shape you created. A quick look at the path thumbnail will tell you if you've done it right: the item itself should be white, with both interior and exterior transparent areas showing as grey. Assuming all is well, you can go ahead and combine the shapes into a single compound shape. Choose the Path Selection tool and then click the path thumbnail; then, within the options bar, click Combine.

You're all set to add the the mask to the photo. First, click the path thumbnail to highlight your new path. Note that the path lines are quite faint and might be difficult to see against some backgrounds; however, as long as you've clicked the path thumbnail and the path itself is highlighted (in the Paths panel), you can move forward. You've spent most of this tutorial working in the Paths panel, but to change the path into a vector mask, you'll have to return to the Layers panel. Choose Layers (Window ->Layers) and click the Photo layer. Call up the Masks panel by choosing Window -> Masks, and in the top right, you'll see a small pen icon.

Click this icon once to add the vector mask to the layer. The background of the photo will then disappear, leaving you with just the item and the color fill layer you added at the start of this process. The Masks panel also allows you to feather the vector mask, which softens its edges and makes the transition between masked and non-masked areas less harsh. I recommend feathering at least one pixel, but you should experiment for best results.