photoshop 6+: there is a tool menu docked to the menu bar at the top of your work area (it only displays options for selected tools, so pick the pin tool, keyboard shortcut "p"). there is a drop down box for "style" and a "color" swatch. make sure your "syle" is set to none, and choose a color by clicking the swatch.
there is also an option in that same bar that allows you to draw with the pen tool without a fill.

this is helpful when you are making a complex shape and you dont want to cover up your concave anchor points.